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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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"Information effect" of economic news : SPI futures
Tan, Oon Geok; Gannon, Gerard L. - In: International review of financial analysis 11 (2002) 4, pp. 467-489
Persistent link: https://www.econbiz.de/10001745133
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A reverse index futures split effect on liquidity and market dynamics
Athanasios, Fassas; Nikolas, Hourvouliades - In: International journal of bonds and derivatives 3 (2017) 3, pp. 235-252
Persistent link: https://www.econbiz.de/10011875992
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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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LIFFE cycles : intraday evidence from the FTSE-100 Stock Index futures market
Abhyankar, Abhay; Copeland, Laurence S.; Wong, W. - In: The European journal of finance 5 (1999) 2, pp. 123-139
Persistent link: https://www.econbiz.de/10001439629
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An empirical examination of the SIMEX Nikkei 225 futures contract around the Kobé earthquake and the Barings Bank collapse
Walsh, David M.; Quek, Jinwei - In: The journal of futures markets 19 (1999) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10001377130
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Trading Volumes, Volatility and Spreads in Foreign Exchange Markets : Evidence from Emerging Market Countries
Galati, Gabriele - 2013
This paper provides empirical evidence on the relationship between trading volumes, volatility and bid-ask spreads in …. I find that in most cases unexpected trading volumes and volatility are positively correlated, suggesting that both are … correlation between trading volumes and volatility is positive during normal periods but turns negative when volatility increases …
Persistent link: https://www.econbiz.de/10014061306
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Trading volumes, volatility and spreads in foreign exchange markets : evidence from emerging market countries
Galati, Gabriele - 2000
Persistent link: https://www.econbiz.de/10013431863
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An event time study of the price reaction to large retail trades
Frino, Alex; Jarnecic, Elvis; Lepone, Andrew - In: The quarterly review of economics and finance : journal … 49 (2009) 2, pp. 617-632
Persistent link: https://www.econbiz.de/10003852644
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Adverse Selection Costs and Trading Volume Surrounding Announcements in Australia
Zheng, Xinwei - 2013
Abnormal trading volumes around scheduled and unscheduled announcements are investigated and Australian stocks are used to establish whether market characteristics affect trading behavior around announcements. In contrast to the results of earlier studies which mainly focus on the U.S. market,...
Persistent link: https://www.econbiz.de/10013092557