The transaction-by-transaction adjustment of interest rate and equity index futures markets to macroeconomic announcements

Journal of Derivatives

Volumn 6, Issue 2, 1998, Pages 7-17

  Gwilym, Owain Ap ^a   Buckle, Mlke ^b   Clare, Andrew ^c   Thomas, Stephen ^a  

^a UNIVERSITY OF SOUTHAMPTON   (United Kingdom)

^b SWANSEA UNIVERSITY   (United Kingdom)

^c UNIVERSITY OF READING   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 20344366886     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.6.2.7     Document Type: Article

References (16)

1. Barclay, M.J., and R.H. Litzenberger. "Announcement Effects of New Equity Issues and the Use of Intraday Price Data." Journal of Financial Economics, Vol. 21 (1988), pp. 71-99.
2. Bessembinder, H., K. Chan, and P. Seguin. "An Empirical Examination of Information, Differences of Opinion and Trading Activity." Journal of Financial Economics, Vol. 40 (1996), pp. 105-134.
3. Blume, L.E., D. Easley, and M. O'Hara. "Market Statistics and Technical Analysis: The Role of Volume." Journal of Finance, Vol. 49 (1994), pp. 153-182.
4. Brown, D.P., and R.H. Jennings. "On Technical Analysis." Review of Financial Studies, Vol. 2 (1989), pp. 527-555.
5. Crain, S.J., and J.H. Lee. "Intraday Volatility in Interest Rate and Foreign Exchange Spot and Futures Markets." Journal of Futures Markets, Vol. 15 (1995), pp. 395-421.
6. Easley, D., and M. O'Hara. "Time and the Process of Security Price Adjustment." Journal of Finance, Vol. 47 (1992), pp. 577-606.
7. Ederington, L.H., and J.H. Lee. "How Markets Process Information: News Releases and Volatility." Journal of finance, Vol 48 (1993), pp 1161-1191
8. "The Response of the Dollar/Yen Exchange Rate to Macroeconomic Announcements." Financial Engineering and the Japanese Markets, Vol. 1 (1994), pp. 111-128.
9. '-. "The Short Run Dynamics of the Price Adjustment to New Information." Journal of Financial and Quantitative Analysis, Vol. 30 (1995), pp. 117-134.
10. Gosnell, T.F. "The Distribution of Reversals and Continuations and Tests for Intraday Market Efficiency." Journal of Business Finance and Accounting, Vol. 22 (1995), pp. 225-243.
11. Grundy, B.D., and M. McNichols. "Trade and Revelation of Information through Prices and Direct Disclosure." Review of-Financial Studies, Vol. 2 (1989), pp. 495-526.
12. Leng, H. "Announcement versus Nonannouncement: A Study of Intraday Transaction Price Paths of Deutsche Mark and Japanese Yen Futures." Journal of Futures Markets, Vol. 16 (1996), pp. 829-857.
13. O'Hara, M. Market Microstructure Theory. Oxford: Black-well, 1995.
14. Patell, J., and M. Wolfson. "The Intraday Speed of Adjustment of Stock Prices to Earnings and Dividend Announcements." Journal of Financial Economics, Vol. 13 (1984), pp. 223-252.
15. Schwert, G.W. "Why Does Stock Market Volatility Change Over Time?" Journal of Finance, Vol. 44 (1989), pp. 1115-1153.
16. Woodruff, C.S., and A.J. Senchack, Jr. "Intraday Price-Volume Adjustments of NYSE Stocks to Unexpected Earnings." Journal of Finance, Vol. 43 (1988), pp. 467-491.