Title: Do currency markets absorb news quickly?
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: Foreign exchange market, Foreign exchange rates, Influence, Mathematical models, Press