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Intraday futures market behaviour around major scheduled macroeconomic announcements : Australian evidence
Frino, Alex; Hill, Amelia - In: Journal of banking & finance 25 (2001) 7, pp. 1319-1337
Persistent link: https://www.econbiz.de/10001586896
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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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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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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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How do equity markets react to COVID-19? : evidence from emerging and developed countries
Harjoto, Maretno Agus; Rossi, Fabrizio; Lee, Robert; … - In: Journal of economics & business 115 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10012807164
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Volume, volatility, and public news announcements
Bollerslev, Tim; Li, Jia; Xue, Yuan - In: The review of economic studies 85 (2018) 4/305, pp. 2005-2041
Persistent link: https://www.econbiz.de/10012263342
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Macroeconomic news surprises, volume and volatility relationship in index futures market
Banerjee, Ameet Kumar; Pradhan, H. K.; Tripathy, Trilochan - In: Applied economics 52 (2020) 3, pp. 275-287
Persistent link: https://www.econbiz.de/10012197389
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Economic news and bond prices : evidence from the US treasury market
Balduzzi, Pierluigi; Elton, Edwin J.; Green, Tracy Clifton - In: Journal of financial and quantitative analysis : JFQA 36 (2001) 4, pp. 523-543
Persistent link: https://www.econbiz.de/10001651573
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The impact of COVID-19, day-of-the-week effect, and information flows on Bitcoin's return and volatility
Liu, Ying Sing; Lee, Liza - In: Journal of Asian finance, economics and business : JAFEB 7 (2020) 11, pp. 45-53
Persistent link: https://www.econbiz.de/10012671625
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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