Lawrence Daniel

UNSW Australia Business School, School of Banking and Finance

Sydney, NSW 2052

Australia

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Scholarly Papers (1)

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The Efficiency of the Information Processing in the Australian Dollar Market: Price Discovery Following Scheduled and Unscheduled News

International Review of Financial Analysis, 32 (2014), 159-178.
Number of pages: 45 Posted: 27 Jan 2014 Last Revised: 15 Sep 2014
Lawrence Daniel, Suk-Joong Kim and Michael D. McKenzie
UNSW Australia Business School, School of Banking and Finance, The University of Sydney Business School and The University of Sydney - Discipline of Finance
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Abstract:

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Information arrival; Macroeconomic news; Australian Dollar; Order flows; Realized volatility; Trade Volume, Foreign Exchange