Do Currency Markets Absorb News Quickly?

Martin Evans and Richard K. Lyons

Chapter 12 in Studies in Foreign Exchange Economics, 2017, pp 477-505 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:IntroductionData and Descriptive StatisticsIdentifying News Effects on Trades and PricesNews Effects on Trades and Prices Beyond the Arrival DayConclusionsAcknowledgementsReferences

Keywords: Exchange Rates; Foreign Currency; Microstructure (search for similar items in EconPapers)
JEL-codes: F31 (search for similar items in EconPapers)
Date: 2017
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Related works:
Journal Article: Do currency markets absorb news quickly? (2005)
Working Paper: Do Currency Markets Absorb News Quickly? (2005)
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