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Trading European Central Bank rumours on ...
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Document type :
Article dans une revue scientifique
Title :
Trading European Central Bank rumours on the EUR-USD exchange rate market
Author(s) :
Casalin, Fabrizio [Auteur]
Lille économie management - UMR 9221 [LEM]
Metcalf, Hugh [Auteur]
Roodbar, Baback [Auteur]
Journal title :
International Review of Financial Analysis
Pages :
53-70
Publisher :
Elsevier
Publication date :
2018-11-09
ISSN :
1057-5219
HAL domain(s) :
Sciences de l'Homme et Société
Sciences de l'Homme et Société/Economies et finances
English abstract : [en]
This paper investigates whether the release of market-relevant news in the form of rumours on Twitter can explain the excess of market volatility previously attributed to private information, speculation, and noise traders. ...
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This paper investigates whether the release of market-relevant news in the form of rumours on Twitter can explain the excess of market volatility previously attributed to private information, speculation, and noise traders. We define a simple theoretical model to show that the systematic information content of such rumours should result in detectable price effects in macro-markets. We then pinpoint the arrival of 63 rumours of forthcoming ECB actions over a 420-day sample of one-minute spot EUR-USD rates, and show that there is a real-time, intraday increase in market volatility. This largely unexplored information set can potentially account for significant amounts of unexplained volatility in macro-markets and, therefore, identify a possible explanation of one of the most prominent puzzles in price discovery research.Show less >
Language :
Anglais
Peer reviewed article :
Oui
Audience :
Internationale
Popular science :
Non
Collections :
  • Lille Économie Management (LEM) - UMR 9221
Source :
Harvested from HAL
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