In this study, we test a set of country macro sentiment indexes that measure the trailing sentiment on both scheduled and unscheduled economic and geopolitical news events. We develop a cross-over strategy in the FX market based on short to long-term news sentiment inflection points covering the...

Using daily data of four currencies (Japanese yen, euro, British pound, and Australian dollar) in terms of the U.S. dollar, and these four currencies in terms of the euro from January 2004 to February 2008, we examine the lead-lag relationship between the credit default swap (CDS) market and the...

We conduct an extensive examination of profitability of technical analysis in ten emerging foreign exchange markets. Studying 25988 trading strategies, we find that best rules can sometimes generate an annually mean excess return of more than 30%. Based on standard tests, we find hundreds to...

This paper presents the review of theoretical literature on the effects of macroeconomic news announcements and order flow on exchange rates. It presents how foreign exchange market reacts to macroeconomic news announcements? How information (both public and private) is incorporated into...

Many calendar anomalies were identified not only on the capital markets but also on the foreign exchange markets. This paper explores the Turn-of-the-quarter (TOQ) Effect presence on the Romanian Foreign Exchange Market. We employ daily values of the official exchange rates of the Romanian...

This paper examines the trading behavior of individual investors using a proprietary intraday dataset of a large pool of retail investor aggregate (minute by minute) long and short positions in EUR/USD for the period July 2014 to April 2016. Standard event study analysis shows no significant...

Some calendar anomalies could have different characteristics during quiet and turbulent times. This paper approaches the behavior of day-of-the-week (DOW) effect on the Romanian foreign exchange market for three periods: January 2010 - December 2014, January 2015 - December 2019 and January 2020...

Focusing on the foreign exchange reaction to macroeconomic announcements, we show that fast trading is positively and significantly correlated with the entropy of the distribution of quoted prices in reaction to news: a larger share of fast trading increases the degree of diversity of quotes in...

We investigate the relation between foreign exchange (FX) order flow and the forward bias. We outline a decomposition of the forward bias according to which a negative correlation between interest rate differentials and order flow creates a time-varying risk premium consistent with that bias....

This article introduces the subject of technical analysis in the foreign exchange market, with emphasis on its importance for questions of market efficiency. “Technicians” view their craft, the study of price patterns, as exploiting traders' psychological regularities. The literature on...