This paper examines the impact of the major stock markets (US, UK and Japan) and of the domestic and US macroeconomic news announcements on Australia’s financial markets. It also investigates the dynamic interaction between the Australian futures market and the stock market, using a bivariate GJR–GARCH model. Our results indicate that the movements of these three major foreign stock markets significantly influence the Australian futures and stock markets. Some US and Australian macroeconomic news has a significant effect on the first and second moments of Australian financial markets. The data confirms that the futures market leads the stock market.