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- W1497018957 abstract "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." @default.
- W1497018957 created "2016-06-24" @default.
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- W1497018957 date "2013-09-01" @default.
- W1497018957 modified "2023-10-06" @default.
- W1497018957 title "IMPACT OF MACROECONOMIC ANNOUNCEMENTS ON INTEREST RATE FUTURES: HIGH-FREQUENCY EVIDENCE FROM AUSTRALIA" @default.
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- W1497018957 doi "https://doi.org/10.1111/j.1475-6803.2013.12015.x" @default.
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