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Minute-by-Minute Dynamics of the Australian Bond Futures Market in Response to New Macroeconomic Information

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Author Info
Kim, S.-J.
Sheen, J.

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Abstract

This paper investigates the response efficiency of the 10-year Australian Commonwealth bond futures market to the new contents of the Australian scheduled information release from January 1993 to July 1997. Using Money Market Services market expectations data to generate the news component of announcements, we find that the futures price falls in response to higher than expected current account deficit, inflation, GDP and retail sales announcements, whereas an unexpected rise in unemployment raised it.

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Publisher Info
Paper provided by Sydney - Department of Economics in its series Papers with number 99-18.

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Length: 27 pages
Date of creation: 1999
Date of revision:
Handle: RePEc:fth:sydnec:99-18

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Postal: THE UNIVERSITY OF SYDNEY, DEPARTMENT OF ECONOMICS, 2006 AUSTRALIA.
Phone: 61 +2 9351 5055
Fax: 61 +2 9351 4341
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Web page: http://www.econ.usyd.edu.au/economics
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Related research
Keywords: FINANCIAL MARKET ; MACROECONOMICS;

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Find related papers by JEL classification:
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Kim, Suk-Joong & Sheen, Jeffrey, 2000. "International linkages and macroeconomic news effects on interest rate volatility -- Australia and the US," Pacific-Basin Finance Journal, Elsevier, vol. 8(1), pages 85-113, March. [Downloadable!] (restricted)
    Other versions:
  2. Michael J. Fleming & Eli M. Remolona, 1997. "What moves the bond market?," Research Paper 9706, Federal Reserve Bank of New York. [Downloadable!]
    Other versions:
  3. Kim, Suk-Joong, 1996. "Inflation News in Australia: Its Effects on Exchange Rates and Interest Rates," Applied Financial Economics, Taylor and Francis Journals, vol. 6(3), pages 225-31, June. [Downloadable!] (restricted)
    Other versions:
  4. Hakkio, Craig S & Pearce, Douglas K, 1985. "The Reaction of Exchange Rates to Economic News," Economic Inquiry, Oxford University Press, vol. 23(4), pages 621-36, October.
  5. Thornton, Daniel L., 1989. "The effect of unanticipated money on the money and foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 8(4), pages 573-587, December. [Downloadable!] (restricted)
  6. Garman, Mark B & Klass, Michael J, 1980. "On the Estimation of Security Price Volatilities from Historical Data," Journal of Business, University of Chicago Press, vol. 53(1), pages 67-78, January. [Downloadable!] (restricted)
  7. Ederington, Louis H & Lee, Jae Ha, 1993. " How Markets Process Information: News Releases and Volatility," Journal of Finance, American Finance Association, vol. 48(4), pages 1161-91, September. [Downloadable!] (restricted)
  8. Madura, Jeff & Tucker, Alan L., 1992. "Trade deficit surprises and the ex ante volatility of foreign exchange rates," Journal of International Money and Finance, Elsevier, vol. 11(5), pages 492-501, October. [Downloadable!] (restricted)
  9. Ederington, Louis H. & Lee, Jae Ha, 1995. "The Short-Run Dynamics of the Price Adjustment to New Information," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(01), pages 117-134, March. [Downloadable!]
  10. Karfakis, Costas & Kim, Suk-Joong, 1995. "Exchange rates, interest rates and current account news: some evidence from Australia," Journal of International Money and Finance, Elsevier, vol. 14(4), pages 575-595, August. [Downloadable!] (restricted)
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  11. Hung, Juann H, 1997. "Intervention strategies and exchange rate volatility: a noise trading perspective," Journal of International Money and Finance, Elsevier, vol. 16(5), pages 779-793, September. [Downloadable!] (restricted)
  12. Hogan, Ked & Melvin, Michael & Roberts, Dan J., 1991. "Trade balance news and exchange rates: Is there a policy signal?," Journal of International Money and Finance, Elsevier, vol. 10(1, Supple), pages S90-S99, March. [Downloadable!] (restricted)
  13. Aggarwal, Raj & Schirm, David C., 1998. "Asymmetric impact of trade balance news on asset prices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(1), pages 83-100, January. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Parker, John, 2007. "The Impact Of Economic News On Financial Markets," MPRA Paper 2675, University Library of Munich, Germany. [Downloadable!]
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