Response to public information in futures markets

evidence from the financial crisis

James Richard Cummings, Esther Yoon Kyeong Lee

Research output: Contribution to journalArticle

Abstract

This paper examines the impact of macroeconomic news announcements on the Australian stock index futures market during the financial crisis of 2007-2008. The financial crisis is characterized by higher price volatility and trading activity, wider bid-ask spreads, and lower depth in the futures market. The responses of price volatility and trading volume to news announcements are more intense and short-lived than before the crisis. Bid-ask spreads widen further around announcements than before the crisis, while depth remains at diminished levels. These results imply that news announcements carry richer information content than before the financial crisis.
Original languageEnglish
Pages (from-to)331-345
Number of pages15
JournalReview of futures markets
Volume19
Issue number4
Publication statusPublished - 2011
Externally publishedYes

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