Do Currency Markets Absorb News Quickly?

Martin D.D. Evans, Richard K. Lyons

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

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Year of publication:	January 2005
Authors:	Evans, Martin D.D.
Other Persons:	Lyons, Richard K. (contributor)
Institutions:	National Bureau of Economic Research (contributor)
Publisher:	Cambridge, Mass : National Bureau of Economic Research
Subject:	Devisenmarkt \| Foreign exchange market \| Ankündigungseffekt \| Announcement effect \| Schätzung \| Estimation \| Wirkungsanalyse \| Impact assessment

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Extent:	1 Online-Ressource
Series:	NBER working paper series ; no. w11041
Type of publication:	Book / Working Paper
Language:	English
Notes:	Mode of access: World Wide Web System requirements: Adobe [Acrobat] Reader required for PDF files Hardcopy version available to institutional subscribers.
Other identifiers:	10.3386/w11041 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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