Market quality around macroeconomic news announcements: Evidence from the Australian stock market

Ivan Indriawan

Pacific-Basin Finance Journal, 2020, vol. 61, issue C

Abstract: This study examines market quality in the ASX and Chi-X during macroeconomic news announcements. Market quality is measured in terms of liquidity, volatility, and price efficiency. Using a sample of 177 Australian companies, I document that market quality is generally higher in the ASX than in Chi-X on days with macroeconomic news announcements. Trading activity is higher while trading cost is lower. Information shocks have larger immediate impact but lower persistence in the ASX compared to Chi-X. The pattern of intraday serial dependence in returns also reveals that that order imbalances in the ASX have smaller impact than in Chi-X, indicating that the former offers greater price efficiency. These results imply that the ASX remains the preferred destination for traders who seek liquidity and cheaper trading options.

Keywords: Market microstructure; Market quality; Macroeconomic news announcements (search for similar items in EconPapers)
JEL-codes: C32 G15 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:61:y:2020:i:c:s0927538x18300428

DOI: 10.1016/j.pacfin.2018.09.007

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