IDEAS home Printed from https://ideas.repec.org/a/lrc/lareco/v2y2014i2p1-14.html
   My bibliography  Save this article

Defragmenting the effect of major news announcements on financial markets

Author

Listed:
  • Ikhlaas Gurrib

    (Coordinator, MBA (Finance) program, Canadian University of Dubai, Dubai,United Arab Emirates.)

Abstract

The issue of High Frequency Trading (HFT) and its impact on financial markets is hitting the headlines hard nowadays. This paper looks at the effects of three major news announcements on two major currency pairs namely the Australian dollar against the US dollar and the Euro against the US dollar. The three major news announcements are the cash rate from the Reserve Bank of Australia, the minimum bid rate from European Central Bank (ECB) and the official bank rate from the Bank of England. A one minute data interval analysis is used over a time period of four years. Findings suggest the effects of the specific news under analysis to be insignificant for a trader to benefit from the fluctuations in the two major currency markets. The use of other macroeconomic news or higher frequency data is warranted to defragment the effects of major news announcements further.

Suggested Citation

  • Ikhlaas Gurrib, 2014. "Defragmenting the effect of major news announcements on financial markets," Journal of Economic and Financial Studies (JEFS), LAR Center Press, vol. 2(2), pages 1-14, April.
    • Handle: RePEc:lrc:lareco:v:2:y:2014:i:2:p:1-14
    as

    Download full text from publisher

    File URL: http://journalofeconomics.org/index.php/site/article/view/130/78
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Cash rate; Minimum bid rate; News announcements; Official bank rate.;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:lrc:lareco:v:2:y:2014:i:2:p:1-14. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: S Marjan (email available below). General contact details of provider: http://www.journalofeconomics.org .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.