Predictable Responses in Currency Markets to Macroeconomic News: A Trading System Approach
Bond University - Finance
Bruce James Vanstone
August 22, 2010
23rd Australasian Finance and Banking Conference 2010 Paper
This paper analyses how the release of a macro news event affects exchange rate behaviour. The event examined was the US non-farm payrolls announcement and the British Pound (GBP)/ US Dollar (USD) were the selected currency pair. A trading system model was developed based on a formal methodology previously applied to equity markets. The system examined the currencies reaction to the announcement in determining whether any behavioural patterns were present. Based on the trading system, no exploitable trading patterns were found.
Number of Pages in PDF File: 26
Keywords: Foreign exchange, macroeconomic news, trading system
JEL Classification: G14, G19, G12working papers series
Date posted: August 24, 2010
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