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The Influence of Policy Uncertainty on Exchange Rate Forecasting

Smales, Lee A. - 2021

characteristics of USD/JPY exchange rate forecasts. Our sample period, which spans two decades, incorporates a range of economic and … results clearly demonstrate that analyst forecast errors, and forecast dispersion, increase with EPU. US monetary policy … uncertainty and Japanese trade policy uncertainty are particularly important in generating forecast dispersion. The empirical …

Persistent link: https://www.econbiz.de/10013239718

Bond futures and order imbalance

Smales, Lee A. - In: Journal of International Financial Markets, … 26 (2013) C, pp. 113-132

Order imbalance methodology is utilized to examine the link between trading activity and returns in the six most liquid …

Persistent link: https://www.econbiz.de/10010702738

30-Day Interbank futures: Investigating the process of price discovery following RBA cash target rate announcements

Smales, Lee A. - In: Journal of International Financial Markets, … 22 (2012) 4, pp. 1006-1023

decision are derived explicitly from 30-Day Interbank futures. The first trade following the RBA decision occurs after 220s on … prices post-announcement are common, particularly when a large amount of uncertainty exists around the RBA decision. The …

Persistent link: https://www.econbiz.de/10010702739

Better the devil you know: The influence of political incumbency on Australian financial market uncertainty

Smales, Lee A. - In: Research in International Business and Finance 33 (2015) C, pp. 59-74

The Australian federal election cycle, which occurs approximately every 3 years, causes much media attention and invokes indecision regarding investment decisions in both the real economy and financial markets. This paper constructs measures of political uncertainty and formally explores their...

Persistent link: https://www.econbiz.de/10011116362

News sentiment in the gold futures market

Smales, Lee A. - In: Journal of Banking & Finance 49 (2014) C, pp. 275-286

This article utilises commodity specific news sentiment data provided by Thomson Reuters News Analytics to examine the relationship between news sentiment and returns in the gold futures market over the period 2003–2012. There is an asymmetric response to news releases with negative news...

Persistent link: https://www.econbiz.de/10011118045

Time-variation in the impact of news sentiment

Smales, Lee A. - In: International Review of Financial Analysis 37 (2015) C, pp. 40-50

Utilizing firm-specific news sentiment data provided by Thomson Reuters News Analytics, I construct aggregate measures to examine the relationship between news sentiment and stock market returns over the period 2004–2010. I find a highly significant relationship between aggregated measures of...

Persistent link: https://www.econbiz.de/10011191075

Political uncertainty and financial market uncertainty in an Australian context

Smales, Lee A. - In: Journal of International Financial Markets, … 32 (2014) C, pp. 415-435

This paper seeks to investigate the influence of political uncertainty, surrounding the Australian federal election cycle, on financial market uncertainty. Measures of political uncertainty are constructed and their relationship with market uncertainty, as measured by implied volatility,...

Persistent link: https://www.econbiz.de/10010906355

Volatility spillovers among cryptocurrencies

Smales, Lee A. - In: Journal of Risk and Financial Management 14 (2021) 10, pp. 1-12

The cryptocurrency market has experienced stunning growth, with market value exceeding USD 1.5 trillion. We use a DCC-MGARCH model to examine the return and volatility spillovers across three distinct classes of cryptocurrencies: coins, tokens, and stablecoins. Our results demonstrate that...

Persistent link: https://www.econbiz.de/10013201177

Commodity Futures Trading at the 52-Week High and Low

Laubsch, Joshua; Smales, Lee A.; Vo, Duc - 2023

We use the Commodity Futures Trading Commission’s Commitment of Traders report to investigate the trading behaviour of … contribution is in understanding the effect of trading at the 52-week high and low – technical levels that are known to influence … investor behaviour – where we find trading behaviour is moderated at the 52-week high and accentuated at the 52-week low. Our …

Persistent link: https://www.econbiz.de/10014349190

Stock Market Liquidity During Crisis Periods : Australian Evidence

Smales, Lee A. - 2023

COVID, the duration of the change during the GFC is longer, resulting in a larger average impact. While trading volume …

Persistent link: https://www.econbiz.de/10014355589