English, Article, Journal or magazine article edition: Macroeconomic news, order flows and exchange rates Richard Payne

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Bookmark: http://trove.nla.gov.au/version/45016
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Macroeconomic news, order flows and exchange rates
Author
  • Richard Payne
Physical Description
  • preprint
Notes
  • Under rational expectations and e±cient markets, the news contained in public information announcements is directly impounded into prices with there being no role for trades in this process of information assimilation. This paper directly tests this assertion using transaction level exchange rate data and a sample of scheduled macroeconomic announcements. The main result of the paper is that even information that is publicly and simultaneously released to all market participants is largely impounded into prices via the key micro-level price determinant order flow. We quantify the role that order flow plays and find that between a half and two thirds of price relevant information is incorporated into prices via the trading process.
  • RePEc:fmg:fmgdps:dp475
Language
  • English
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