We investigate the joint response of the AUD order flow, realized volatility and trading volume during five minute holding periods to unscheduled Reuters news headline alerts and the macroeconomic news from Australia, Japan, the Eurozone the UK, and the US over the period 2 January 2007 to 31 December 2009. Most of the responses for the Reuters news are coming from foreign exchange and fixed income market headlines and those that arrive during Australian offshore trading hours matter more. The AUD market responded mostly to the Australian and the US macroeconomic news. In general, we find either only the good news elicited AUD market responses (the Japan and the Eurozone news) or the good news matter more (Australia, the US and the UK news). In addition, we find the volume response decreases at a slower rate than the volatility response. Order flows for the AUD respond only to scheduled news.
Keywords: News; Australian Dollar; Order flows, Realized volatility, Trade Volume, Foreign Exchange
JEL Classification: F31; G15
학회소식
[2012년 제 4차] The efficiency of the information processing in the
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2012-12-12
