Intraday effect of news on emerging European forex markets: An event study analysis

Evžen Kočenda and Michala Moravcova ()

Economic Systems, 2018, vol. 42, issue 4, 597-615

Abstract: We analyze the impact of euro zone/German and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an event study methodology to analyze intraday data from 2011–2015. Our comprehensive analysis of the wide variety of macroeconomic information during the post-GFC period shows that: (i) macroeconomic announcements affect the value of the new EU country exchange rates, (ii) the origin of the announcement matters, (iii) the type of announcement matters, (iv) different types of news (good, bad or neutral) result in different reactions, (v) markets react not only after the news release but also before, (vi) when the U.S. dollar is the base currency the impact of the news is larger than in the case of the euro, (vii) announcements on ECB monetary policy result in stronger effects than those of the Fed, (viii) temporary inefficiencies are present in new EU country forex markets, (ix) new EU country exchange rates react differently to positive US news during the EU debt crisis compared to the rest of the period.

Keywords: Foreign exchange markets; Intraday data; Abnormal returns; Event study; Macroeconomic announcements; Monetary policy settings; European Union; New EU members (search for similar items in EconPapers)
JEL-codes: C52 F31 F36 G15 P59 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

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Related works:
Working Paper: Intraday Effect of News on Emerging European Forex Markets: An Event Study Analysis (2018)
Working Paper: Intraday Effect of News on Emerging European Forex Markets: An Event Study Analysis (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecosys:v:42:y:2018:i:4:p:597-615

DOI: 10.1016/j.ecosys.2018.05.003

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