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

Casalin, Fabrizio; Metcalf, Hugh; Roodbar, Baback

Type de document :

Compte-rendu et recension critique d'ouvrage

Titre :

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

Auteur(s) :

Casalin, Fabrizio [Auteur]
Lille économie management - UMR 9221 [LEM]
Metcalf, Hugh [Auteur]
Roodbar, Baback [Auteur]

Titre de la revue :

International Review of Financial Analysis

Pagination :

53-70

Éditeur :

Elsevier

Date de publication :

2018-11-09

ISSN :

1057-5219

Discipline(s) HAL :

Sciences de l'Homme et Société/Economies et finances

Résumé en anglais : [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. ...
Lire la suite >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.Lire moins >

Langue :

Anglais

Vulgarisation :

Non

Collections :

Lille Économie Management (LEM) - UMR 9221

Source :

Harvested from HAL

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