Cross-Border Scheduled Macroeconomic News Impacts: Evidence from High-Frequency Asia Pacific Currencies

Pacific Basin Finance Journal, Forthcoming

Posted: 29 Apr 2017

See all articles by Kam Fong Chan

Kam Fong Chan

The University of Western Australia; Financial Research Network (FIRN)

Mahesh Chhagan

Independent

Alastair Marsden

University of Auckland - Business School

Date Written: April 28, 2017

Abstract

The current study utilizes a comprehensive set of influential scheduled macroeconomic announcements released from various developed and emerging markets to investigate the speed and persistence of news impacts on major Asia-Pacific currencies sampled at high frequencies. A richly varied set of findings emerge. In general, we document that the responses to economic news released domestically and from the U.S. are rapid, and there is some evidence of persistency concerning U.S. economic news and news related to the China's purchasing manager index. The currency reactions to asymmetric economic news surprises and the states of the U.S. economy are heterogeneous. Finally, we show that macroeconomic announcements have contributed to the sudden increase in realized volatility and trading volumes of the currencies around the time of announcements.

Keywords: Scheduled macroeconomic announcements; Foreign exchange rates; Speed of news impact; Persistence of news impact

JEL Classification: C50; E44; G14; G15

Suggested Citation

Chan, Kam Fong and Chhagan, Mahesh and Marsden, Alastair D.E., Cross-Border Scheduled Macroeconomic News Impacts: Evidence from High-Frequency Asia Pacific Currencies (April 28, 2017). Pacific Basin Finance Journal, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2960091

Kam Fong Chan (Contact Author)

The University of Western Australia ( email )

35 Stirling Highway
Crawley, Western Australia 6009
Australia

Financial Research Network (FIRN) ( email )

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

Mahesh Chhagan

Independent ( email )

No Address Available

Alastair D.E. Marsden

University of Auckland - Business School ( email )

Private Bag 92019
Room: C208
Auckland
New Zealand
64 9 373 7999 (Phone)
64 9 373 7406 (Fax)

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