Market Quality around Macroeconomic News Announcements: Evidence from the US and Canadian Markets

Yiuman Tse; Bart Frijns; Ivan Indriawan; Alireza Tourani‐Rad

doi:10.1111/irfi.12190

Market Quality around Macroeconomic News Announcements: Evidence from the US and Canadian Markets

Yiuman Tse
, Bart Frijns
, Ivan Indriawan
, Alireza Tourani‐Rad

University of Missouri-St. Louis

Research output: Contribution to journal › Article › peer-review

Original language	American English
Journal	International Review of Finance
Volume	19
DOIs	https://doi.org/10.1111/irfi.12190
State	Published - 2018

Disciplines

Economics
International Economics
Macroeconomics

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10.1111/irfi.12190License: Unspecified

Cite this

@article{0d30015952174938a53ab9fc808918ec,

title = "Market Quality around Macroeconomic News Announcements: Evidence from the US and Canadian Markets",

author = "Yiuman Tse and Bart Frijns and Ivan Indriawan and Alireza Tourani‐Rad",

note = "Alireza Tourani‐Rad acknowledges financial support by the Czech Science Foundation (Project No. GA 17‐02509S). We investigate changes in market quality in the US and Canada during macroeconomic news announcements. We measure market quality in terms of returns dependence, the cost of trading, and pricing errors.",

year = "2018",

doi = "10.1111/irfi.12190",

language = "American English",

volume = "19",

journal = "International Review of Finance",

}

TY - JOUR

T1 - Market Quality around Macroeconomic News Announcements: Evidence from the US and Canadian Markets

AU - Tse, Yiuman

AU - Frijns, Bart

AU - Indriawan, Ivan

AU - Tourani‐Rad, Alireza

N1 - Alireza Tourani‐Rad acknowledges financial support by the Czech Science Foundation (Project No. GA 17‐02509S). We investigate changes in market quality in the US and Canada during macroeconomic news announcements. We measure market quality in terms of returns dependence, the cost of trading, and pricing errors.

PY - 2018

Y1 - 2018

UR - https://doi.org/10.1111/irfi.12190

U2 - 10.1111/irfi.12190

DO - 10.1111/irfi.12190

M3 - Article

VL - 19

JO - International Review of Finance

JF - International Review of Finance

ER -

Market Quality around Macroeconomic News Announcements: Evidence from the US and Canadian Markets

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