Do currency markets absorb news quickly?
By: Martin D.D. Evans, Richard K. Lyons.
Contributors: Lyons, Richard K.; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 11041; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 11041.
Publisher: National Bureau of Economic Research
Published: 2005
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Foreign exchange rates -- Mathematical models.; Foreign exchange market -- Mathematical models.; Press -- Influence.
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.
Notes: Includes bibliographical references.
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