This paper delineates the simultaneous impact of non-anticipated information on mean and variance of the intraday return process by including appropriate variables accounting for the news flow into both the mean and the variance function. This allows us to differentiate between the consistent...

This paper investigates the intraday response of CBOT T-bond futures prices to surprises in headline figures contained in scheduled U.S. macroeconomic news releases. While several previous studies try to find out which releases have a significant impact on prices and volatility in financial...

This paper delineates the simultaneous impact of non-anticipated information on first and second moments of the intraday price process by including appropriate variables accounting for the news flow into both the mean and the variance function. This allows us to differentiate between the...

This paper is a study of the spillover effects of U.S. macroeconomic news on different sectors of the Australian stock market. We find that an indication of economic contraction from the United States raises the conditional mean, and most news elicits associated volatility in the Australian...

The Mexican crisis of 1994-95 had strong spillover effects on Argentina. The Argentine government successfully announced a series of policies to mitigate the contagion effects. This paper studies how capital markets reacted to each policy announcement and news. Capital markets welcomed...

Intervention by the Reserve Bank of Australia on foreign exchange markets from 1983 to 1997 is conjectured to have been determined by exchange rate trend correction, exchange rate volatility smoothing, the U.S. and Australian overnight interest rate differentials, profitability and foreign...

The period under review – between 23 December 2015 and 26 January 2016 – saw the Brent crude price slide further by 12.7% from the previous period. During that period, there were days when the price dropped below $30 a barrel. Sberbank and VTB lost 8.3% and 12.6% respectively, thus dragging...

In this work we investigate the determinants of sovereign wealth fund (SWF) investments' stock prices. We focus on the location of the investment (domestic versus cross-border investments) and on the target industry (strategic versus non-strategic). We use a new dataset on SWF investments and...

In this study, we analyze the effects of US macroeconomic announcements on European stock returns, return volatility and bid-ask spreads using intraday data. While an index-based analysis provides expected outcomes of differing importance of macro-economic announcements, we provide first...