Evans, Martin D.D.; Lyons, Richard K. - In: Journal of Financial Economics 88 (2008) 1, pp. 26-50
Macro news can affect currency prices directly and indirectly via order flow. Past research shows that the direct effects of scheduled macro news account for less than 10% of daily price variance. This paper shows that the arrival of macro news can account for more than 30% of daily price...
