Macroeconomic announcements and price discovery in the foreign exchange market

Gau, Yin‐Feng; Wu, Zhen Xing

doi:10.1016/j.jimonfin.2017.08.006

Cited by 38 publications

(11 citation statements)

References 59 publications

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“…Ito and Hashimoto (2006) observe an intraday pattern in trading activities of EBS EUR–USD and USD‐JPY markets. Separating the 24‐h trading into Asia market session, Europe market session, the overlapping period of London and New York market sessions, and US market session, Gau and Wu (2017) show the primary macroeconomic announcements affect the pattern of price discovery across these four market sessions. Figures 2 and 3 show the intraday trading activities of EUR–USD and JPY–USD spot and futures markets (GMT hours) and the patterns of them are similar.…”

Section: Empirical Analysismentioning

confidence: 99%

The information effect of order flows in foreign currency futures and spot markets

Chen

Gau

2022

Journal of Futures Markets

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Using intraday EUR-USD and JPY-USD data in both electronic futures and spot markets, we examine the important role played by order flow in price discovery and in intermediating the exchange-rate reactions to macroeconomic news. We find that, after considering the order flows of futures and spot markets, the futures market dominates price discovery when compared with the spot market, confirming that order flows have a permanent impact on prices, even more so in futures markets. Furthermore, announcement surprises in gross domestic product, jobless claims, and nonfarm payroll affect both order flows and exchange-rate changes.

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Section: Empirical Analysismentioning

confidence: 99%

The information effect of order flows in foreign currency futures and spot markets

Chen

Gau

2022

Journal of Futures Markets

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“…We collect data from OANDA using a 5-minute calendar sampling scheme over a 24-hour trading window that starts at 22:00 UTC (end of the New York session). Due to low liquidity, weekends are removed from the analysis to avoid estimation bias, as is standard in the literature (e.g., Dacorogna et al., 2001 ; Andersen, Bollerslev, Diebold, 2007 , Aloud, Fasli, Tsang, Dupuis, Olsen, 2013 ; Gau and Wu, 2017) .…”

Section: Datamentioning

confidence: 99%

FX market volatility modelling: Can we use low-frequency data?

Lyócsa

Plíhal

Výrost

2021

Finance Research Letters

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Highlights We study 1-to-66 day-ahead volatility forecast of six major FX pairs. For short forecast horizons high-frequency dominate low-frequency models. High-frequency models are more accurate during market distress. For longer forecast horizons low-frequency volatility models become competitive. Low-frequency data can be used to accurately predict long-term volatility.

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“…When a market introduces a regulation or signals an authority stance in the form of communication, local trading may be affected, and local price dynamics could be influenced. While the impact on equity and bond prices of public information such as regulation, macroeconomic data releases, and political events has been extensively documented in the literature (Gilbert et al 2017;Hansen and McMahon 2016;Gau and Wu 2017;Frijns, Indriawan, and Tourani-Rad 2015;Even-Tov 2017;Bernanke and Kuttner 2005;Verrecchia 2001), no such evidence is documented in the Bitcoin market.…”

Section: Introductionmentioning

confidence: 99%

Global Bitcoin Markets and Local Regulations:

Park

Tian

Zhao

2020

ADB Economics Working Paper Series

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The views expressed in this publication are those of the authors and do not necessarily reflect the views and policies of the Asian Development Bank (ADB) or its Board of Governors or the governments they represent. ADB does not guarantee the accuracy of the data included in this publication and accepts no responsibility for any consequence of their use. The mention of specific companies or products of manufacturers does not imply that they are endorsed or recommended by ADB in preference to others of a similar nature that are not mentioned. By making any designation of or reference to a particular territory or geographic area, or by using the term "country" in this document, ADB does not intend to make any judgments as to the legal or other status of any territory or area.

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Macroeconomic announcements and price discovery in the foreign exchange market

Cited by 38 publications

References 59 publications

The information effect of order flows in foreign currency futures and spot markets

The information effect of order flows in foreign currency futures and spot markets

FX market volatility modelling: Can we use low-frequency data?

Global Bitcoin Markets and Local Regulations:

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