Order Imbalance, Market Returns and Macroeconomic News: Evidence from the Australian Interest Rate Futures Market
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 (d...
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| Format: | Journal Article |
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J A I Press
2012
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| Online Access: | http://hdl.handle.net/20.500.11937/59366 |