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Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/286870
Description: We jointly investigate the responses of the Australian dollar (AUD) order flow, realized volatility and trading volume to unscheduled Reuters news headline alerts and scheduled macroeconomic news from ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/336462
Description: This study investigates the impact of scheduled and unscheduled information arrival on realized volatility and volume in the USD/AUD exchange rate. The authors find that trading outside of Australian ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/286969
Description: In this paper, we consider the trading behavior of institutional investors and short sellers around earnings announcements. The results suggest that institutional investors, and to a lesser extent sho ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/286910
Description: During times of market turmoil, market regulators are often called upon to ban short selling. This paper considers a number of arguments commonly used to justify banning, which revolve around issues o ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/229734
Description: This paper examines the impact of naked short selling on equity markets where it is restricted to securities on an approved list. Consistent with Miller's (1977) intuition, stocks with the highest dis ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/286987
Description: This paper considers the relationship between the public equity market and the returns to venture investing using a dataset which is derived from the records of two large limited partners who have bee ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/288037
Description: 9 page(s)
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/287155
Description: Researchers have little to guide them when choosing an optimal model for use in auto regressive conditional heteroscedasticity modelling applications. Although the standard class of asymptotic model s ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/287141
Description: This paper considers the forecast accuracy of a wide range of volatility models, with particular emphasis on the use of power transformations. Where one-period-ahead forecasts are considered, the powe ... More
Reviewed: Reviewed
Date: 2008
Subject Keyword: 140200 Applied Economics
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/266001
Description: Prices in bond markets have been noted as moving extremely rapidly following macroeconomic news announcements – with a delayed increase in trading volume. New data allows us to demonstrate that the pr ... More
Reviewed: Reviewed
Date: 2003
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/267113
Description: In this paper, we consider the impact of the introduction of LIFFE CONNECT on the lead-lag relationship between the FTSE100 index and its futures contract. In general, the results of this study sugges ... More
Reviewed: Reviewed
Date: 2003
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/219383
Description: Recent research suggests that volatility has an important role to play in the appearance of the compass rose pattern. The introduction of decimal prices on the New York Stock Exchange (NYSE) provides ... More
Reviewed: Reviewed
Date: 2002
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/219393
Description: This paper conducts an empirical analysis of the mispricing of calendar spreads for stock index futures. Using recent data drawn from the Sydney Futures Exchange, a sharp increase in the magnitude of ... More
Reviewed: Reviewed
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