This paper examines the pattern of order aggressiveness, and the determinants of this pattern for institutional and retail brokers in the interval around monetary policy announcements. Utilizing a high-frequency dataset, with broker identifiers for each order submitted on the ASX over the period...

The purpose of this study is to capture Pakistani stock market dynamics in response to political- and budget events. The study of political events and budget announcements together is quite reasonable in that: swift transformations of governments are likely to change annual budget policies, so...

This paper explores the impact of global climate policy announcements on the performance of the fossil fuel and alternative energy sectors. I conduct an event-study analysis around the yearly United Nations Framework Convention on Climate Change Conference of the Parties (UNFCCC COP) meetings,...

This paper examines the patterns of trading behaviour, in the period surrounding monetary policy announcements. Utilizing a high-frequency data-set, with broker identifiers enabling classification of trades executed through institutional and retail brokers, I investigate all trades submitted on...

I examine the relationship between aggregate news sentiment, S&P 500 Index returns, and changes in the implied volatility index (VIX). I find a significant negative contemporaneous relationship between changes in VIX and both news sentiment and stock returns. This relationship is asymmetric...

In addition to a myriad of industrial uses, precious metals continue to play an important role in the global financial system; they are increasingly popular as an investment and form part of a well-diversified portfolio in addition to acting as central bank reserves. Understanding how...

Utilising a comprehensive sample of U.S. and Chinese macroeconomic news announcements, we determine that volatility in commodity prices is significantly impacted by news regarding U.S. economic output (Industrial Production) and Chinese producer prices (PPI). Much of this effect appears to be...

Crude oil futures play an important role in the global financial and energy markets, yet the dynamics of liquidity in this crucial market have largely been ignored. Understanding how macroeconomic events shape liquidity in this market is crucial for both hedgers and speculators, particularly...