Do currency markets absorb news quickly?
Edición de la obra Do currency markets absorb news quickly?
| Autor | Martin D. D. Evans |
|---|---|
| Editorial | National Bureau of Economic Research |
| Fecha de publicación | 2005 |
| Lugar | Cambridge, MA |
| Idioma | inglés |
| Formato | Electronic resource |
| LCCN | 2005616618 |
| Serie | NBER working paper series ; · working paper 11041 · Working paper series (National Bureau of Economic Research : Online) ; |
| Número de Cutter | E92d |
"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.