Do currency markets absorb news quickly?
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Author
Contributions
- Lyons, Richard K. - Contributor
- National Bureau of Economic Research. - Contributor
Publication
2005 - National Bureau of Economic Research, Cambridge, MA, Massachusetts
Language
English
Word Count
0 words, Guess
Page Count
0 pages
Physical Format
Electronic resource
Identifiers
- Library of Congress Control Number2005616618
- Open LibraryOL3477019M
Classifications
- LCCHB1
Description
"This paper addresses whether macro news arrivals affect currency markets over time. The null from macro exchange-rate theory is that they do not: macro news is impounded in ex-change rates instantaneously. We test this by examining the effects of news on subsequent trades by end-user participants (such as hedge funds, mutual funds, and non-financial corporations). News arrivals induce subsequent changes in trading in all of the major end-user segments. These induced changes remain significant for days. Induced trades also have persistent effects on prices. Currency markets are not responding to news instantaneously"--National Bureau of Economic Research web site.
Subjects
Topics
Series Statement
- NBER working paper series ;
- working paper 11041
- Working paper series (National Bureau of Economic Research : Online) ;
- working paper no. 11041.
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