The importance of belief dispersion in the response of gold futures to macroeconomic announcements

Lee Smales and Yi Yang

International Review of Financial Analysis, 2015, vol. 41, issue C, 292-302

Abstract: We investigate the behaviour of gold futures around the release of macroeconomic announcements. Market activity, in terms of traded volume, returns, and volatility, responds to new information quickly, with the majority of the reaction complete within 90-s. Surprises on the announcement of unemployment rate and GDP have the largest impact. Contrary to prior results for the equity market, gold futures exhibit greater reactions to ‘good’ economic news (which is negative for gold prices) and the magnitude of the response does not appear to increase during recession. Importantly, we employ a novel measure of belief dispersion, and we are able to demonstrate that the market response to macroeconomic news is significantly larger when belief dispersion is wider.

Keywords: Gold futures; Macroeconomic announcements; Belief dispersion; COMEX; High-frequency (search for similar items in EconPapers)
JEL-codes: G10 G14 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057521915000289
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:41:y:2015:i:c:p:292-302

DOI: 10.1016/j.irfa.2015.01.017

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().