Minute-by-minute dynamics of the Australian bond futures market in response to new macroeconomic information

Suk Joong Kim*, Jeffrey Sheen

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingChapterpeer-review

Abstract

This chapter investigates the response efficiency of the 10-year Australian Commonwealth bond futures market to the news contents of the Australian scheduled information release from January 1993 to July 1997. Using Money Market Services market expectations data to generate the news component of announcements, we find that the futures price falls in response to higher than expected current account deficit, inflation, GDP and retail sales announcements, whereas an unexpected rise in unemployment raised it. In addition to the price response, there is strong evidence of elevated volatility of the price and of trading volumes following all five news announcements. More importantly, most of the market adjustments (of price and volatility) to new information were completed during the first minute following each news announcement suggesting market efficiency of the Australian futures market. The trading volumes, on the other hand, continue to respond to news for one hour following the news release. This suggests that, after the new equilibrium price has been quickly established and its volatility dispersed, volume trading persists for the purposes of portfolio re-balancing by liquidity traders and for establishing a complete consensus amongst traders.

Original languageEnglish
Title of host publicationInformation spillovers and market integration in international finance
Subtitle of host publicationempirical analyses
EditorsSuk-Joong Kim
Place of PublicationSingapore
PublisherWorld Scientific Publishing
Chapter7
Pages203-227
Number of pages25
ISBN (Electronic)9789813223585
ISBN (Print)9789813223578
DOIs
Publication statusPublished - Jan 2018

Publication series

NameWorld scientific studies in international economics
PublisherWorld Scientific Publishing
Volume64
ISSN (Print)1793-3641

Bibliographical note

Originally published in Journal of Multinational Financial Management, 2001, 11(2), 117–137.

Keywords

  • Announcement news
  • Futures market efficiency

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