The asymmetric impact of consumer sentiment announcements on Australian foreign exchange rates

Shumi Akhtar, Robert Faff and Barry Oliver

Australian Journal of Management, 2011, vol. 36, issue 3, 387-403

Abstract: We examine the effect of consumer sentiment announcements on changes in 13 of the more common foreign exchange rates against the Australian dollar using a consumer sentiment index (CSI). Generally, we find that the CSI possesses information that influences the foreign exchange market. However, we observe an asymmetric effect – when a lower than previous month CSI is announced, the Australian dollar experiences a significant depreciation on the announcement day, but there is no matching appreciation when positive CSI news occurs. This supports the negativity effect documented in the psychology literature and in the Australian stock market. There is no evidence that the effect is non-linear.

Keywords: asymmetry; foreign exchange markets; investor sentiment (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:36:y:2011:i:3:p:387-403

DOI: 10.1177/0312896211410723

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