Do currency markets absorb news quickly?

被引：72

作者：

Evans, MDD ^{[1
]}

Lyons, RK

机构：

[1] Univ Calif Berkeley, Haas Sch Business, Berkeley, CA 94720 USA

[2] Georgetown Univ, Dept Econ, Washington, DC 20057 USA

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2005年 / 24卷 / 02期

基金：

美国国家科学基金会;

关键词：

announcements; news; microstructure; order flow; currency; hedge funds; mutual funds;

D O I：

10.1016/j.jimonfin.2004.12.004

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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 exchange 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. (c) 2004 Elsevier Ltd. All rights reserved.

引用

页码：197 / 217

页数：21

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