This study examines the high frequency reaction of the Australian Dollar (AUD) to new information contained in scheduled macroeconomic news releases in Australia for 1998 using Money Market Services trader expectations data. By using exchange rate data sampled at 10-second intervals, major price adjustments are found to begin almost immediately following the initial release of information and are complete within one minute of the announcement. There is some evidence of over-reaction after the initial release but returns in the first minute do not seem to have any meaningful structure that would enable prediction of returns in the second minute. The AUD appears to trade efficiently and the market absorbs new information quickly
Using a new dataset consisting of six years of real-time exchange rate quotations, macroeconomic exp...
This paper analyses the effectiveness of the “Trading the News ” phenomena, practiced by many specul...
© 2018 Elsevier B.V. With Australia's growing importance in the global economy, the Australian dolla...
I investigate the behavior of Australian interest rate futures around the release of major scheduled...
This thesis forms a comprehensive empirical study of the dynamics of the Australian interest rate fu...
This study investigates the impact of scheduled and unscheduled information arrival on realized vola...
Analysis of the intraday volatility of the Australian dollar shows spikes in volatility around the t...
This study examines the response of Australian interest rate swap spreads to the arrival of macroeco...
This paper examines the relationship between 23 kinds of macroeconomic news and the return of foreig...
New information has an important role in asset price movement. This paper investigates the role of s...
This paper examines intraday futures market behaviour around major scheduled macroeconomic informati...
Abstract: Many recent papers have studied movements in stock, bond, and currency prices over short w...
This paper investigates on the co-movement of the Australian Dollar (AUD) with the Euro (EUR), Pound...
This paper investigates the dynamic, short-run response of Euro exchange rate returns to the informa...
Many recent papers have studied movements in stock, bond, and currency prices over short windows of ...
Using a new dataset consisting of six years of real-time exchange rate quotations, macroeconomic exp...
This paper analyses the effectiveness of the “Trading the News ” phenomena, practiced by many specul...
© 2018 Elsevier B.V. With Australia's growing importance in the global economy, the Australian dolla...
I investigate the behavior of Australian interest rate futures around the release of major scheduled...
This thesis forms a comprehensive empirical study of the dynamics of the Australian interest rate fu...
This study investigates the impact of scheduled and unscheduled information arrival on realized vola...
Analysis of the intraday volatility of the Australian dollar shows spikes in volatility around the t...
This study examines the response of Australian interest rate swap spreads to the arrival of macroeco...
This paper examines the relationship between 23 kinds of macroeconomic news and the return of foreig...
New information has an important role in asset price movement. This paper investigates the role of s...
This paper examines intraday futures market behaviour around major scheduled macroeconomic informati...
Abstract: Many recent papers have studied movements in stock, bond, and currency prices over short w...
This paper investigates on the co-movement of the Australian Dollar (AUD) with the Euro (EUR), Pound...
This paper investigates the dynamic, short-run response of Euro exchange rate returns to the informa...
Many recent papers have studied movements in stock, bond, and currency prices over short windows of ...
Using a new dataset consisting of six years of real-time exchange rate quotations, macroeconomic exp...
This paper analyses the effectiveness of the “Trading the News ” phenomena, practiced by many specul...
© 2018 Elsevier B.V. With Australia's growing importance in the global economy, the Australian dolla...