کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5101083 | 1479140 | 2017 | 64 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Macroeconomic announcements and price discovery in the foreign exchange market
ترجمه فارسی عنوان
اعلامیه های اقتصاد کلان و کشف قیمت در بازار ارز خارجی
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
This study shows that the dominance of the overlapping trading hours of London and New York in the price discovery of the EUR/USD and USD/JPY markets only applies on days with U.S. announcements. Different from Cai et al. (2008) and Wang and Yang (2011), we highlight the informational advantage of local traders at the arrival of macroeconomic announcements in the local market, and find that macroeconomic announcements affect the pattern of price discovery across different markets, consistent with Chen and Gau (2010) and Jiang et al. (2012). We also examine changes in information shares before and after the announcement. A significant increase in price discovery before the announcement suggests the possibility of information leakage, while enhanced price discovery efficacy after the announcement suggests that prices gradually adjust to new information, not just immediately respond to the arrival of announcements.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 79, December 2017, Pages 232-254
Journal: Journal of International Money and Finance - Volume 79, December 2017, Pages 232-254
نویسندگان
Yin-Feng Gau, Zhen-Xing Wu,