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Intraday futures market behaviour around major scheduled macroeconomic announcements: Australian evidence

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  • Frino, Alex
  • Hill, Amelia

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  • Frino, Alex & Hill, Amelia, 2001. "Intraday futures market behaviour around major scheduled macroeconomic announcements: Australian evidence," Journal of Banking & Finance, Elsevier, vol. 25(7), pages 1319-1337, July.
  • Handle: RePEc:eee:jbfina:v:25:y:2001:i:7:p:1319-1337
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    References listed on IDEAS

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    1. Lease, Ronald C & Masulis, Ronald W & Page, John R, 1991. " An Investigation of Market Microstructure Impacts on Event Study Returns," Journal of Finance, American Finance Association, vol. 46(4), pages 1523-1536, September.
    2. repec:bla:joares:v:19:y:1981:i:2:p:374-383 is not listed on IDEAS
    3. 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.
    4. Aitken, Michael & Ferris, George, 1991. "A note on the effect of controlling for transaction costs on the small firm anomaly: Additional Australian evidence," Journal of Banking & Finance, Elsevier, vol. 15(6), pages 1195-1202, December.
    5. Stoll, Hans R, 1978. "The Pricing of Security Dealer Services: An Empirical Study of NASDAQ Stocks," Journal of Finance, American Finance Association, vol. 33(4), pages 1153-1172, September.
    6. McInish, Thomas H & Wood, Robert A, 1992. " An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks," Journal of Finance, American Finance Association, vol. 47(2), pages 753-764, June.
    7. Jones, Charles M & Kaul, Gautam & Lipson, Marc L, 1994. "Transactions, Volume, and Volatility," Review of Financial Studies, Society for Financial Studies, vol. 7(4), pages 631-651.
    8. Venkatesh, P C, 1992. "Empirical Evidence on the Impact of the Bid-Ask Spread on the Characteristics of CRSP Daily Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 15(2), pages 113-125, Summer.
    9. 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 1161-1191, September.
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    Cited by:

    1. Smales, Lee A., 2012. "30-Day Interbank futures: Investigating the process of price discovery following RBA cash target rate announcements," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 1006-1023.
    2. Smales, Lee A., 2016. "Order aggressiveness of different broker-types in response to monetary policy news," Pacific-Basin Finance Journal, Elsevier, vol. 40(PB), pages 367-383.
    3. Grant, James L. & Wolf, Avner & Yu, Susana, 2005. "Intraday price reversals in the US stock index futures market: A 15-year study," Journal of Banking & Finance, Elsevier, vol. 29(5), pages 1311-1327, May.
    4. Grothe, Magdalena, 2010. "Price and trading response to public information," Working Paper Series 1177, European Central Bank.
    5. Apergis, Nicholas, 2015. "The role of FOMC minutes for US asset prices before and after the 2008 crisis: Evidence from GARCH volatility modeling," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 100-107.
    6. Smales, Lee A., 2015. "Asymmetric volatility response to news sentiment in gold futures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 161-172.
    7. Rühl, Tobias R. & Stein, Michael, 2015. "The impact of ECB macro-announcements on bid–ask spreads of European blue chips," Journal of Empirical Finance, Elsevier, vol. 31(C), pages 54-71.

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