Macroeconomic news, order flows and exchange rates

Richard Payne ()

FMG Discussion Papers from Financial Markets Group

Abstract: Under rational expectations and e±cient markets, the news contained in public information announcements is directly impounded into prices with there being no role for trades in this process of information assimilation. This paper directly tests this assertion using transaction level exchange rate data and a sample of scheduled macroeconomic announcements. The main result of the paper is that even information that is publicly and simultaneously released to all market participants is largely impounded into prices via the key micro-level price determinant order flow. We quantify the role that order flow plays and find that between a half and two thirds of price relevant information is incorporated into prices via the trading process.

Date: 2003-12
References: Add references at CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
http://www.lse.ac.uk/fmg/workingPapers/discussionPapers/fmgdps/dp475.pdf (application/pdf)

Related works:
Journal Article: Macroeconomic News, Order Flows, and Exchange Rates (2008)
Working Paper: Macroeconomic news, order flows and exchange rates (2003)
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:fmg:fmgdps:dp475

Access Statistics for this paper

More papers in FMG Discussion Papers from Financial Markets Group
Bibliographic data for series maintained by The FMG Administration ().