The Asymmetric Impact of Consumer Sentiment Announcements on Australian Foreign Exchange Rates

Posted: 21 Dec 2011

See all articles by Shumi M. Akhtar

Shumi M. Akhtar

The University of Sydney

Robert W. Faff

University of Queensland

Barry R. Oliver

University of Queensland - Business School; Financial Research Network (FIRN)

Date Written: December 9, 2011

Abstract

We examine the effect of consumer sentiment announcements on changes in 13 of the more common foreign exchange rates against the Australian dollar using a consumer sentiment index (CSI). Generally, we find that the CSI possesses information that influences the foreign exchange market. However, we observe an asymmetric effect – when a lower than previous month CSI is announced, the Australian dollar experiences a significant depreciation on the announcement day, but there is no matching appreciation when positive CSI news occurs. This supports the negativity effect documented in the psychology literature and in the Australian stock market. There is no evidence that the effect is non-linear.

Keywords: asymmetry, foreign exchange markets, investor sentiment

Suggested Citation

Akhtar, Shumi M. and Faff, Robert W. and Oliver, Barry Ross, The Asymmetric Impact of Consumer Sentiment Announcements on Australian Foreign Exchange Rates (December 9, 2011). Australian Journal of Management, Vol. 36, No. 3, 2011. Available at SSRN: https://ssrn.com/abstract=1974985

Shumi M. Akhtar (Contact Author)

The University of Sydney ( email )

University of Sydney Business School
corner of Codrington Street and Darlington Street
Chippendale, NSW 2006
Australia
61290369309 (Phone)

HOME PAGE: http://www.firn.org.au

Robert W. Faff

University of Queensland ( email )

St Lucia
Brisbane, Queensland 4072
Australia

Barry Ross Oliver

University of Queensland - Business School ( email )

Brisbane, Queensland 4072
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

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