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

QR Code

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...

Full description

Bibliographic Details
Main Author:	Smales, Lee
Format:	Journal Article
Published:	J A I Press 2012
Online Access:	http://hdl.handle.net/20.500.11937/59366

Similar Items

Examining the effect of RBA target rate news on the interest rate futures market
by: Smales, Lee
Published: (2011)

Impact of Macroeconomic Announcements on Interest Rate Futures: High-Frequency Evidence from Australia
by: Smales, Lee
Published: (2013)

Bond futures and order imbalance Examining international linkages
by: Smales, Lee
Published: (2013)

News Sentiment in the Gold Futures Market
by: Smales, Lee
Published: (2014)

Commodity market volatility in the presence of U.S. and Chinese macroeconomic news
by: Smales, Lee
Published: (2017)

Interest Rate Futures Dynamics with Macroeconomics Announcements : Tick by Tick Evidence from the Japanese Market
by: Ramgutty, Deepa Anjali
Published: (2015)

Non-scheduled News Arrival and High-Frequency Stock Market Dynamics: Evidence From the Australian Securities Exchange
by: Smales, Lee
Published: (2014)

RBA monetary policy communication: The response of Australian interest rate futures to changes in RBA monetary policy
by: Smales, Lee
Published: (2012)

The Linear Relationship between Stock Returns and Interest Rates: Evidence from US Stock Markets
by: Zhou, Yuhong
Published: (2009)

Impact Of Foreign And Domestic Order Imbalances On Return And Volatilityvolume Relation
by: Ekaputra, Irwan Adi
Published: (2014)

Effects of Macroeconomic News on Hong Kong Bond Market: An Intraday Empirical Evidence.
by: Chowdhery, Sarah Hafeez
Published: (2010)

Reaction to non-scheduled News During Financial Crisis: Australian Evidence
by: Smales, Lee
Published: (2014)

Macroeconomic determinants of the stock market return : the case in Malaysia
by: Heng, Lee Ting, et al.
Published: (2012)

The importance of fear: investor sentiment and stock market returns
by: Smales, Lee
Published: (2017)

FX Market Returns and Their Relationship to Investor Fear
by: Smales, Lee, et al.
Published: (2016)

Macroeconomic Variables and Stock Returns: Empirical Evidence from Nigerian Stock Market
by: Adenike, Azeez Aminat
Published: (2009)

Time-varying relationship of news sentiment, implied volatility and stock returns
by: Smales, Lee
Published: (2016)

The Effects of Macroeconomic Variables on Stock Market Returns in Developing Markets: The Case of Indonesia
by: Sunarso, Nydia Angelina
Published: (2015)

Empirical Test of Macroeconomic Variables and Stock Market Returns in Asian Emerging Market
by: Selamat, Zarehan
Published: (2001)

Asymmetric Volatility Response to news sentiment in gold futures
by: Smales, Lee
Published: (2015)

Effect of investor fear on Australian financial markets
by: Smales, Lee
Published: (2017)

The role of political uncertainty in Australian financial markets
by: Smales, Lee
Published: (2015)

Order aggressiveness of different broker-types in response to monetary policy news
by: Smales, Lee
Published: (2016)

The response of sectoral returns to macroeconomic shocks in the Malaysian stock market
by: Law, Siong Hook, et al.
Published: (2014)

(Unusual) weather and stock returns - I am not in the mood for mood: further evidence from international markets
by: Apergis, N., et al.
Published: (2016)

Political Uncertainty and Financial Market Uncertainty in an Australian context
by: Smales, Lee
Published: (2014)

Macroeconomic determinants of stock market returns in Malaysia: evidence from FTSE KLCI / Nur Syuhadah Rosli
by: Rosli, Nur Syuhadah
Published: (2019)

Causal relationship between stock market returns and macroeconomic variables in Nigeria
by: Ali, Umar Ahmad, et al.
Published: (2015)

Macroeconomic Variables on Indonesia Stock Market Return: Quantile Regression Approach
by: Lavi, Evan Wiranata
Published: (2017)

The Impact of Macroeconomic Variables on Overall and Segmented Stock Market Returns in China
by: HU, YING
Published: (2020)

Causal relationship between stock market returns and macroeconomic variables in Nigeria

The Impact of Interest Rates on the Real Estate Market
by: Mo, Jieling
Published: (2009)

The importance of belief dispersion in the response of gold futures to macroeconomic announcements
by: Smales, Lee, et al.
Published: (2015)

Dynamic Correlation of Stock and Bond Return in Five Asian Markets with Determinants of Macroeconomic Conditions and Market Uncertainty
by: Zheng, Junyang
Published: (2015)

Determinants of macroeconomic variables effect stock market return: empirical evidence from Malaysia and Singapore / Amirah Jamiahan
by: JAMIAHAN, AMIRAH
Published: (2017)

An autoregressive distributive lag for the analysis of macroeconomic variables on stock market returns in Nigeria
by: Ali, Umar Ahmad, et al.
Published: (2015)

An autoregressive distributive lag for the analysis of macroeconomic variables on stock market returns in Nigeria

The asymptotics of extreme returns in the Australian stock market
by: Jeyasreedharan, N., et al.
Published: (2009)

Oil price volatility and macroeconomic factors influence stock market return: A study in Malaysia
by: Chen, Si Ying, et al.
Published: (2014)

The Effect of Credit Rating Changes on Common Stock Return-Evidence from the UK Market
by: Wang, Xueying
Published: (2019)