The article examines microstructure issues in the Australian Interbank futures market by analyzing the price adjustment process following scheduled Cash Target Rate announcements by the Reserve Bank of Australia. In characterizing the market response, three distinct stages of price formation and...

This paper investigates the behavior of Australian interest rate futures around the release of major scheduled macroeconomic announcements. The analysis of price volatility, returns, trading activity and bid-ask spreads finds that the adjustment to new information occurs quickly with the...