Detail publikace

Intraday Effect of News on Emerging European Forex Markets: An Event Study Analysis

Autor: prof. Ing. Evžen Kočenda M.A., Ph.D., DSc.,
Ing. Michala Moravcová ,
Typ: IES Working Papers
Rok: 2016
Číslo: 20
Publikováno v: IES Working Papers 20/2016
Místo vydání: Prague
Klíčová slova: foreign exchange markets; intraday data; abnormal returns; event study; macroeconomic announcements; monetary policy settings; European Union; new EU members
JEL kódy: C52, F31, F36, G15, P59
Citace: Kocenda E., Moravcova M. (2016). " Intraday Effect of News on Emerging European Forex Markets: An Event Study Analysis” IES Working Paper 20/2016. IES FSV. Charles University.
Abstrakt: We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an Event Study Methodology to analyze intra-day data from 2011–2015. Our comprehensive analysis of the wide variety of macroeconomic information during the post-GFC period shows that: (i) macroeconomic announcements affect the value of the new-EU-country exchange rates, (ii) the origin of the announcements matters, (iii) the type of announcement also matters, (iv) different types of news (good, bad, or neutral) result in different reactions, (v) markets react not only after the news release but also before, (vi) when the U.S. dollar is a base currency the impact of the news is larger than in case of the euro, (vii) announcements on ECB monetary policy result in stronger effects than those of the Fed, and (viii) temporary inefficiencies are present on the new-EU-country forex markets.
Ke stažení: wp_2016_20_kocenda




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