The Impact of Trade Announcements on Financial Markets. An Event Study Analysis
Adrian Cantemir Calin
Journal for Economic Forecasting, 2015, issue 2, 81-91
The financial markets tend to react to a large range of macroeconomic events. We investigate the reaction of currencies to foreign trade announcements for a series of countries with liquid financial markets. Our analysis uses the econometric event study methodology by fitting a FIGARCH model and capturing the reaction of the volatilities of returns around these announcements. We find that the trade announcements have a considerable influence on the currencies considered in this analysis, especially on those with a high degree of liquidity.
Keywords: trade announcements; FIGARCH; event study; financial reaction; periodicity ajustments (search for similar items in EconPapers)
JEL-codes: G14 G15 E44 C58 F14 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:rjr:romjef:v::y:2015:i:2:p:81-91
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