High Frequency Analysis of Macro News Releases on the Foreign Exchange Market : A Survey of Literature

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

4 Scopus Citations
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Detail(s)

Original languageEnglish
Pages (from-to)33-48
Journal / PublicationBig Data Research
Volume2
Issue number1
Publication statusPublished - 1 Mar 2015

Abstract

Most previous literature focuses on proving market impacts of macro news and price discovery process of the FX market. In general, the literature is divided into two camps. The first one attempts to explain directions of exchange-rate changes (the first moments). The second one attempts to explain exchange rate volatility (the second moments). There are many studies addressing the first camp of research, while there is a limited number of studies addressing the second camp of research. In the future, researchers may further investigate the following issues regarding the release of macro news: (a) their impacts on FX volatility; (b) their impacts on FX derivatives; (c) profitability of trading strategies arising from news releases; (d) price patterns associated with selected news announcements, non-scheduled news and selected headline news; and (e) machine learning on the impacts with advanced computer technologies.

Research Area(s)

  • Foreign currency, High frequency analysis, Macroeconomic announcements