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Do Currency Markets Absorb News Quickly?

Martin Evans () and Richard Lyons ()

No 11041, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper addresses whether macro news arrivals affect currency markets over time. The null from macro exchange-rate theory is that they do not: macro news is impounded in ex-change rates instantaneously. We test this by examining the effects of news on subsequent trades by end-user participants (such as hedge funds, mutual funds, and non-financial corporations). News arrivals induce subsequent changes in trading in all of the major end-user segments. These induced changes remain significant for days. Induced trades also have persistent effects on prices. Currency markets are not responding to news instantaneously.

JEL-codes: F3 F4 G1 (search for similar items in EconPapers)
Date: 2005-01
New Economics Papers: this item is included in nep-fin, nep-fmk and nep-rmg
Note: IFM AP
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Published as Evans, Martin D.D. & Lyons, Richard K., 2005. "Do currency markets absorb news quickly?," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 197-217, March.

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Related works:
Chapter: Do Currency Markets Absorb News Quickly? (2017) Downloads
Journal Article: Do currency markets absorb news quickly? (2005) Downloads
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