"Information effect" of economic news: SPI futures

Tan, Oon Geok and Gannon, Gerard 2002, "Information effect" of economic news: SPI futures, International Review of Financial Analysis, vol. 11, no. 4, pp. 467-489.

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Title "Information effect" of economic news: SPI futures
Author(s) Tan, Oon Geok
Gannon, Gerard
Journal name International Review of Financial Analysis
Volume number 11
Issue number 4
Start page 467
End page 489
Publisher Elsevier Science Inc.
Place of publication Amsterdam, Netherlands
Publication date 2002
ISSN 1057-5219
1873-8079
Keyword(s) News
Volatility
Speed of adjustment
Summary The present study investigates the behaviour of Share Price Index (SPI) futures returns, volatility, and trading volume behaviour around the announcement of Current Account Deficit (CAD), Gross Domestic Product (GDP), and Inflation (CPI). The futures market data are sampled at 1-, 5-, and 10-min intervals at the announcement time. After controlling for risk, a significant positive abnormal return can be earned based on the good news release. However, it is unlikely that traders could make an economic profit by exploiting this effect. In this sense, this futures market returns are found to react efficiently to good news. Volatility behaviour around announcements provides the same conclusion. As for the relationship between returns, volatility, and volume upon information arrival, returns are positively related to trading volume, which is inconsistent with the ‘short sales constraint’ theory. Trading volume is found to increase as the level of volatility rises. The redenomination of the SPI futures and options contract from A$100 to A$25 per basis point is found to increase trading volume in excess of that expected due to the redenomination. However, market return and volatility are unaffected by the redenomination.
Language eng
Field of Research 150201 Finance
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2002, Elsevier Science Inc.
Persistent URL http://hdl.handle.net/10536/DRO/DU:30009410

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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