Cross-border scheduled macroeconomic news impacts: Evidence from high-frequency Asia Pacific currencies

Kam Fong Chan, Mahesh Chhagan, Alastair Marsden

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

The current study utilizes a comprehensive set of influential scheduled macroeconomic announcements released from various developed and emerging markets to investigate the speed and persistence of news impacts on major Asia-Pacific currencies sampled at high frequencies. A richly varied set of findings emerge. In general, we document that the responses to economic news released domestically and from the U.S. are rapid, and there is some evidence of persistency concerning U.S. economic news and news related to the China's purchasing manager index. The currency reactions to asymmetric economic news surprises and the states of the U.S. economy are heterogeneous. Finally, we show that macroeconomic announcements have contributed to the sudden increase in realized volatility and trading volumes of the currencies around the time of announcements.

Original languageEnglish
Pages (from-to)37-54
Number of pages18
JournalPacific Basin Finance Journal
Volume43
DOIs
Publication statusPublished - Jun 2017
Externally publishedYes

Fingerprint

Asia-Pacific
Currency
News
Macroeconomic news
Cross-border
Economics
Macroeconomic announcements
Persistence
US economy
Announcement
Emerging markets
Trading volume
China
Surprise
Realized volatility
Managers
Purchasing

Cite this

@article{ecff25710b9344be9c97b80a86a2638d,
title = "Cross-border scheduled macroeconomic news impacts: Evidence from high-frequency Asia Pacific currencies",
abstract = "The current study utilizes a comprehensive set of influential scheduled macroeconomic announcements released from various developed and emerging markets to investigate the speed and persistence of news impacts on major Asia-Pacific currencies sampled at high frequencies. A richly varied set of findings emerge. In general, we document that the responses to economic news released domestically and from the U.S. are rapid, and there is some evidence of persistency concerning U.S. economic news and news related to the China's purchasing manager index. The currency reactions to asymmetric economic news surprises and the states of the U.S. economy are heterogeneous. Finally, we show that macroeconomic announcements have contributed to the sudden increase in realized volatility and trading volumes of the currencies around the time of announcements.",
keywords = "Foreign exchange rates, Persistence of news impact, Scheduled macroeconomic announcements, Speed of news impact",
author = "Chan, {Kam Fong} and Mahesh Chhagan and Alastair Marsden",
year = "2017",
month = "6",
doi = "10.1016/j.pacfin.2017.02.004",
language = "English",
volume = "43",
pages = "37--54",
journal = "Pacific Basin Finance Journal",
issn = "0927-538X",
publisher = "Pergamon",

}

Cross-border scheduled macroeconomic news impacts : Evidence from high-frequency Asia Pacific currencies. / Chan, Kam Fong; Chhagan, Mahesh; Marsden, Alastair.

In: Pacific Basin Finance Journal, Vol. 43, 06.2017, p. 37-54.

Research output: Contribution to journalArticle

TY - JOUR

T1 - Cross-border scheduled macroeconomic news impacts

T2 - Evidence from high-frequency Asia Pacific currencies

AU - Chan, Kam Fong

AU - Chhagan, Mahesh

AU - Marsden, Alastair

PY - 2017/6

Y1 - 2017/6

N2 - The current study utilizes a comprehensive set of influential scheduled macroeconomic announcements released from various developed and emerging markets to investigate the speed and persistence of news impacts on major Asia-Pacific currencies sampled at high frequencies. A richly varied set of findings emerge. In general, we document that the responses to economic news released domestically and from the U.S. are rapid, and there is some evidence of persistency concerning U.S. economic news and news related to the China's purchasing manager index. The currency reactions to asymmetric economic news surprises and the states of the U.S. economy are heterogeneous. Finally, we show that macroeconomic announcements have contributed to the sudden increase in realized volatility and trading volumes of the currencies around the time of announcements.

AB - The current study utilizes a comprehensive set of influential scheduled macroeconomic announcements released from various developed and emerging markets to investigate the speed and persistence of news impacts on major Asia-Pacific currencies sampled at high frequencies. A richly varied set of findings emerge. In general, we document that the responses to economic news released domestically and from the U.S. are rapid, and there is some evidence of persistency concerning U.S. economic news and news related to the China's purchasing manager index. The currency reactions to asymmetric economic news surprises and the states of the U.S. economy are heterogeneous. Finally, we show that macroeconomic announcements have contributed to the sudden increase in realized volatility and trading volumes of the currencies around the time of announcements.

KW - Foreign exchange rates

KW - Persistence of news impact

KW - Scheduled macroeconomic announcements

KW - Speed of news impact

UR - http://www.scopus.com/inward/record.url?scp=85012004968&partnerID=8YFLogxK

U2 - 10.1016/j.pacfin.2017.02.004

DO - 10.1016/j.pacfin.2017.02.004

M3 - Article

VL - 43

SP - 37

EP - 54

JO - Pacific Basin Finance Journal

JF - Pacific Basin Finance Journal

SN - 0927-538X

ER -