Minute-by-Minute Dynamics of the Australian Bond Futures Market in Response to New Macroeconomic Information

Suk-Joong Kim () and Jeffrey Sheen

Chapter 7 in Information Spillovers and Market Integration in International Finance:Empirical Analyses, 2018, pp 203-227 from World Scientific Publishing Co. Pte. Ltd.

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.

Keywords: Currency Intervention; Macroeconomic News; International Capital Flows; Sovereign Credit Rating (search for similar items in EconPapers)
JEL-codes: F30 (search for similar items in EconPapers)
Date: 2018
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Journal Article: Minute-by-minute dynamics of the Australian bond futures market in response to new macroeconomic information (2001)
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