Impact of Macroeconomic Announcements on Interest Rate Futures: High-Frequency Evidence from Australia
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 hig...
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| Format: | Journal Article |
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Wiley-Blackwell Publishing, Inc.
2013
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| Online Access: | http://hdl.handle.net/20.500.11937/30066 |
| _version_ | 1848752981003993088 |
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| author | Smales, Lee |
| author_facet | Smales, Lee |
| author_sort | Smales, Lee |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T08:17:15Z |
| format | Journal Article |
| id | curtin-20.500.11937-30066 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:17:15Z |
| publishDate | 2013 |
| publisher | Wiley-Blackwell Publishing, Inc. |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-300662017-09-13T15:29:12Z Impact of Macroeconomic Announcements on Interest Rate Futures: High-Frequency Evidence from Australia Smales, Lee Interest Rate Futures macroeconomic announcement bid-ask spread 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. 2013 Journal Article http://hdl.handle.net/20.500.11937/30066 10.1111/j.1475-6803.2013.12015.x Wiley-Blackwell Publishing, Inc. restricted |
| spellingShingle | Interest Rate Futures macroeconomic announcement bid-ask spread Smales, Lee Impact of Macroeconomic Announcements on Interest Rate Futures: High-Frequency Evidence from Australia |
| title | Impact of Macroeconomic Announcements on Interest Rate Futures: High-Frequency Evidence from Australia |
| title_full | Impact of Macroeconomic Announcements on Interest Rate Futures: High-Frequency Evidence from Australia |
| title_fullStr | Impact of Macroeconomic Announcements on Interest Rate Futures: High-Frequency Evidence from Australia |
| title_full_unstemmed | Impact of Macroeconomic Announcements on Interest Rate Futures: High-Frequency Evidence from Australia |
| title_short | Impact of Macroeconomic Announcements on Interest Rate Futures: High-Frequency Evidence from Australia |
| title_sort | impact of macroeconomic announcements on interest rate futures: high-frequency evidence from australia |
| topic | Interest Rate Futures macroeconomic announcement bid-ask spread |
| url | http://hdl.handle.net/20.500.11937/30066 |