Trading European Central Bank rumours on the EUR-USD exchange rate market

Casalin, Fabrizio; Metcalf, Hugh; Roodbar, Baback

Document type :

Compte-rendu et recension critique d'ouvrage

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/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. ...
Show more >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

Popular science :

Non

Collections :

Lille Économie Management (LEM) - UMR 9221

Source :

Harvested from HAL

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