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    Order Imbalance, Market Returns and Macroeconomic News: Evidence from the Australian Interest Rate Futures Market

    Access Status
    Fulltext not available
    Authors
    Smales, Lee
    Date
    2012
    Type
    Journal Article
    
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    Citation
    Smales, L. 2012. Order Imbalance, Market Returns and Macroeconomic News: Evidence from the Australian Interest Rate Futures Market. Research in International Business and Finance. 26 (3): pp. 410-427.
    Source Title
    Research in International Business and Finance
    DOI
    10.1016/j.ribaf.2012.04.001
    School
    Curtin Graduate School of Business
    URI
    http://hdl.handle.net/20.500.11937/59366
    Collection
    • Curtin Research Publications
    Abstract

    The relationship between order imbalance, market returns and macroeconomic news is examined in the context of the Australian interest rate futures market. Contemporaneous order imbalance exerts a significant impact on market returns in the expected direction i.e. excess buy (sell) orders drive up (down) prices. Order imbalances are related to past market returns with market participants acting in a contrarian manner across all products following market rallies. Nine major macroeconomic announcements are identified with order imbalance, and returns, reacting to such announcements in a manner that correctly reflects the news component. Following a scheduled macroeconomic announcement there is an increase in the level of information asymmetry within the interest rate futures market, demonstrated by an increased sensitivity to order flow. Finally, the pattern of order imbalance immediately prior to scheduled announcements suggests that there is no information leakage.

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