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    Impact of Macroeconomic Announcements on Interest Rate Futures: High-Frequency Evidence from Australia

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    Fulltext not available
    Authors
    Smales, Lee
    Date
    2013
    Type
    Journal Article
    
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    Citation
    Smales, Lee A. 2013. Impact of Macroeconomic Announcements on Interest Rate Futures: High-Frequency Evidence from Australia. The Journal of Financial Research. 36 (3): pp. 371-388.
    Source Title
    The Journal of Financial Research
    DOI
    10.1111/j.1475-6803.2013.12015.x
    ISSN
    0270-2592
    URI
    http://hdl.handle.net/20.500.11937/30066
    Collection
    • Curtin Research Publications
    Abstract

    I investigate the behavior of Australian interest rate futures around the release of major scheduled macroeconomic announcements. The adjustment to new information occurs quickly with the majority of the reaction complete within 30 seconds. The period immediately before the announcement exhibits high volatility, low levels of volume, and wide bid–ask spreads. In the 30 seconds following the scheduled announcement there is a sharp increase in price volatility, significant positive correlation in returns, high levels of trading activity, and large adjusted returns. The reaction is stronger in shorter maturity contracts, and in the period surrounding the 2007–2008 financial crisis.

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