Macroeconomic Announcements and Price Discovery in the Foreign Exchange Market

Download or read book Macroeconomic Announcements and Price Discovery in the Foreign Exchange Market written by Yin-Feng Gau and published by . This book was released on 2016 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article examines the price discovery function around releases of macroeconomic announcements to explore the informational efficiency of prices in a 24-hour trading platform. We study the contribution to price discovery of four periods of trading, including the Asian, European, European-U.S. overlapping, and U.S. markets in the Electronic Broking Services (EBS), using EUR/USD and USD/JPY data. Trading in the overlapping trading hours of London and New York dominates price discovery in currency trading only on days when U.S. announcements are released. News effects also occur on the days before and after announcements are released. This study provides evidence that macroeconomic announcements affect price discovery efficacy across sequential trading periods in the EUR/USD and USD/JPY markets.