This paper investigates the behavior of Australian interest rate futures around the release of major scheduled macroeconomic announcements. The analysis of price volatility, returns, trading activity and bid-ask spreads finds that the adjustment to new information occurs quickly with the...

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,...

This paper considers short sellers' activities when equity analysts are over-optimistic about a stock's future performance. We use a novel dataset of daily aggregated stock lending information for stocks short sold on the Australian Security Exchange (ASX) during the period of October 2005 to...

The high-frequency market reaction to intraday stock-specific news flow is examined over the period January 2000 to November 2011. Data on novelty, relevance, and direction of company-specific news for the ASX50 leading Australian stocks is garnered from the Ravenpack news analytics tool....

We study the intra-day impact of algorithmic trading on the futures market to increase our understanding of algorithmic trading and its role in the price formation process. First, we find that algorithmic trading provides liquidity when the spread is wide and that algorithms enter the market at...

Theoretical models of limit order books populated with liquidity traders suggest a link between order aggressiveness, spreads and the cost of waiting for order execution. We directly test these models using an experimental setting where waiting time is important for traders, namely the...

We study 145 large listed Australian firms to explore the impact of IFRS adoption on the properties of analysts' forecasts and the role of firm disclosure about IFRS impact. We find that analyst forecast accuracy improves and there is no significant change in dispersion in the adoption year,...

Seasonality has long been documented in the context of equity market returns, but only recently has been tested for in the residential real estate market. This paper argues, in line with the previous research in this area, that no month should, on average, demonstrate superior (or inferior)...