High-Frequency Effects of Novel News on the EURUSD Exchange Rate

Miha Kebe and Matthias Uhl

Journal of Behavioral Finance, 2024, vol. 25, issue 2, 194-207

Abstract: We study the intraday relationship between novel Euro-specific news and the EURUSD exchange rate with over 100 million news articles with millisecond precision. We show a predictive but not contemporaneous relationship between these news and their sentiment and EURUSD returns. This lends support to the slow information diffusion hypothesis as well as rational inattention to new news theories. Furthermore, we identify a regime change in the relationship between news and the EURUSD returns since the Global Financial Crisis (GFC). The positive relationship observed since the GFC between news sentiment and the EURUSD was particularly prominent during the Eurozone debt crisis.

Date: 2024
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DOI: 10.1080/15427560.2022.2100386

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