The efficiency of the information processing in the Australian dollar market: Price discovery following scheduled and unscheduled news

被引：2
|
作者：
Daniel, Lawrence [1 ]
Kim, Suk-Joong [2 ]
McKenzie, Michael D. [3 ]
机构：
[1] Univ New S Wales, Sch Banking & Finance, Sydney, NSW 2052, Australia
[2] Univ Sydney, Sch Business, Discipline Finance, Sydney, NSW 2006, Australia
[3] Univ Liverpool, Sch Management, Liverpool L69 3BX, Merseyside, England
来源：
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2014年 / 32卷
关键词：
Information arrival; Macroeconomic news; Australian dollar; Order flows; Realized volatility; Trade volume; Foreign exchange; FOREIGN-EXCHANGE MARKETS; MACROECONOMIC ANNOUNCEMENTS; RATE VOLATILITY; DYNAMICS; RATES; STOCK; US;
D O I：
10.1016/j.irfa.2014.01.015
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We jointly investigate the responses of the Australian dollar (AUD) order flow, realized volatility and trading volume to unscheduled Reuters news headline alerts and scheduled macroeconomic news from Australia, Japan, the Eurozone, the U.K., and the U.S. over the period 2 January 2007 to 31 December 2009. We find that Reuters foreign exchange and fixed income market news headlines are important, and those headlines that arrive during the Australian offshore trading hours matter more. Furthermore, the AUD market responded mostly to Australian and U.S. macroeconomic news which have direct relevance for the exchange rate. We also find that better than expected Japanese and Eurozone macroeconomic news elicited a response in the AUD and also that better than expected news from Australia, U.S. and U.K. matter more. Finally, we find that the volume response to news decreases at a slower rate than the volatility response and that order flows for the AUD respond only to scheduled news. (C) 2014 Elsevier Inc. All rights reserved.
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页码：159 / 178
页数：20
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