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Order imbalance, market returns and macroeconomic news evidence from the Australian interest rate futures market
Smales, Lee A. - In: Research in international business and finance 26 (2012) 3, pp. 410-427
Persistent link: https://www.econbiz.de/10009615910
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Order Imbalance, Market Returns and Macroeconomic News : Evidence from the Australian Interest Rate Futures Market
Smales, Lee A. - 2013
The relationship between order imbalance, market returns and macroeconomic news is examined in the context of the Australian interest rate futures market. Contemporaneous order imbalance exerts a significant impact on market returns in the expected direction i.e. excess buy (sell) orders drive...
Persistent link: https://www.econbiz.de/10013092145
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Financial transaction taxes : announcement effects, short-run effects, and long-run effects
Eichfelder, Sebastian; Lau, Mona - 2016 - Version: October 2016
liquidity and volatility. We extend the empirical research by the identification of FTT announcement and short-run treatment … effects, which may distort difference-in-differences estimates. In addition, we account not only for the intraday volatility … but also for long-term volatility measures. While we find strong evidence for a positive FTT announcement effect on …
Persistent link: https://www.econbiz.de/10011550386
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No news is not good news: evidence from the intra-day return volatility-volume relationship in Shanghai stock exchange
Krishnamurti, Chandrasekhar; Tian, Gary Gang; Xu, Min; … - In: Journal of the Asia Pacific economy 18 (2013) 1, pp. 149-167
Persistent link: https://www.econbiz.de/10009713176
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Trading volume and investor disagreement around management forecast disclosures
Cho, Myojung; Kwon, Soo Young - In: Journal of accounting, auditing & finance 29 (2014) 1, pp. 3-30
Persistent link: https://www.econbiz.de/10010253924
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The impact of firm-specific public news on intraday market dynamics : evidence from the Turkish stock market
Baklaci, Hasan F.; Tunc, Gokce; Aydogan, Berna; Vardar, … - In: Emerging markets finance & trade : a journal of the … 47 (2011) 6, pp. 99-119
Persistent link: https://www.econbiz.de/10009563064
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Impact of US macroeconomic news announcements on intraday causalities on selected European stock markets
Gurgul, Henryk; Lach, Łukasz; Wójtowicz, Tomasz - In: Finance a úvěr 66 (2016) 5, pp. 405-425
Persistent link: https://www.econbiz.de/10011582475
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Unscheduled news and market dynamics
Dugast, Jérôme - 2017
Persistent link: https://www.econbiz.de/10011817639
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Linear and nonlinear intraday causalities in response to U.S. macroeconomic news announcements : evidence from Central Europe
Gurgul, Henryk; Lach, Łukasz; Wójtowicz, Tomasz - In: Managerial economics 17 (2016) 2, pp. 217-240
Frankfurt, Vienna, and Warsaw. We examine causal links between returns, volatility, and trading volume as well as the time of …
Persistent link: https://www.econbiz.de/10011736959
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The efficiency of the information processing in the Australian dollar market : price discovery following scheduled and unscheduled news
Daniel, Lawrence; Kim, Suk-Joong; McKenzie, Michael D. - In: International review of financial analysis 32 (2014), pp. 159-178
Persistent link: https://www.econbiz.de/10010461296