Information Asymmetry and Macroeconomic News in Foreign Exchange Electronic Inter-dealer Market
This paper examines the transmission channels through which macroeconomic news are im- pounded into foreign exchange rates and whether different categories of macroeconomic news like euro-area, UK and US news induce a different price discovery process in the FX market. The re- sults show that macroeconomic announcements affect exchange rates through two channels. The rst channel is the directional price impact of macro announcements immediately and directly after the announcements. The second source of impact is a gradual process of price discovery, where the information advantage of some market participants is revealed to the market through trading. My analysis also shows that the characteristics and durations of these price discovery processes in the FX market depend on the prevailing level of information asymmetry and the nature and complexity of the scheduled news.
Wing Wah Tham
Warwick Business School Financial Econometrics Research Centre University of Warwick Coventry,CV4 7AL,UK
国际会议
大连
英文
1-30
2008-07-02（万方平台首次上网日期，不代表论文的发表时间）