News announcements and price discovery in foreign exchange spot and futures markets

By Yu‐Lun Chen, Yin-Feng Gau. 2010

180 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f834773c8e1321b282719383d988ff44d629516d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Hong Miao
2. Sanjay Ramchander
3. J. Elder
4. Tālis J. Putniņš
5. Lutz Kilian
6. Apostolos Serletis
7. Carole Comerton-Forde

In Finance

1. Hong Miao
2. Sanjay Ramchander
3. J. Elder
4. Tālis J. Putniņš
5. Carole Comerton-Forde

Citations in the corpus

• What Do Price Discovery Metrics Really Measure (2013, methodology): “Table 4 reports IS, CS, and ILS estimates for the studies by Mizrach and Neely (2008), Rittler (2012), Hsieh et al. (2008) and Chen and Gau (2010).”
• Impact of macroeconomic news on metal futures (2012, background): “, 2011) and currencies (e.g., Simpson et al., 2005; Chen and Gau, 2010), the corresponding literature on the reaction of metal prices to economic announcements is relatively scarce.”
• Impact of macro-economic surprises on carry trade activity (2013, unknown): “…news and futures positions through the risk-reversals channel may provide an explanation, based on carry trade activity, of the finding by Chen and Gau (2010) that the contribution of futures prices to overall price discovery in foreign exchange markets increases markedly around the…”