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

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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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Bibliographic Details
Main Author:	Smales, Lee
Format:	Journal Article
Published:	Wiley-Blackwell Publishing, Inc. 2013
Subjects:	Interest Rate Futures macroeconomic announcement bid-ask spread
Online Access:	http://hdl.handle.net/20.500.11937/30066

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