TY  - JOUR
AU  - Evans,Martin D.D.
AU  - Lyons,Richard K.
TI  - Do Currency Markets Absorb News Quickly?
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 11041
PY  - 2005
Y2  - January 2005
UR  - http://www.nber.org/papers/w11041
L1  - http://www.nber.org/papers/w11041.pdf
N1  - Author contact info:
Martin Evans
Department of Economics
Georgetown University
Washington, DC  20057
Tel: 202-687-1570
E-Mail: evansm1@georgetown.edu

Richard K. Lyons
460 Michigan Ave
Berkeley, CA 94707
Tel: 510-642-1059
Fax: 510-642-4700
E-Mail: lyons@haas.berkeley.edu
AB  - This paper addresses whether macro news arrivals affect currency markets over time. The null from macro exchange-rate theory is that they do not: macro news is impounded in ex-change rates instantaneously. We test this by examining the effects of news on subsequent trades by end-user participants (such as hedge funds, mutual funds, and non-financial corporations). News arrivals induce subsequent changes in trading in all of the major end-user segments. These induced changes remain significant for days. Induced trades also have persistent effects on prices. Currency markets are not responding to news instantaneously.
ER  -