全球智库信息集成服务系统(G2TT): Price Discovery and Liquidity Recovery: Forex Market Reactions to Macro Announcements

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w27036
来源ID	Working Paper 27036
	Price Discovery and Liquidity Recovery: Forex Market Reactions to Macro Announcements
	Masahiro Yamada; Takatoshi Ito
发表日期	2020-04-27
出版年	2020
语种	英语
摘要	We examine whether the forex market quality, measured by the speed of price discovery and liquidity recovery after macro statistics announcements, has improved using the EBS high-frequency data for 20 years. Considering the recent rise of computer-based trading, a popular conjecture is that the market quality has improved. Our empirical analysis, however, suggests that an improving trend is only observed in price discovery. Moreover, two measures are negatively correlated because an increasing number of traders improves liquidity but slows down price discovery. Theoretically, the latter finding implies that “fast” traders have a poor interpretation of how the news will impact prices.
主题	Macroeconomics ; Money and Interest Rates ; International Economics ; International Finance ; Financial Economics ; Financial Markets
URL	https://www.nber.org/papers/w27036
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/584708
推荐引用方式 GB/T 7714	Masahiro Yamada,Takatoshi Ito. Price Discovery and Liquidity Recovery: Forex Market Reactions to Macro Announcements. 2020.