Abstract
This study investigates the existence of private information in the spot foreign exchange market by examining the impact of macroeconomic announcements on banks' currency pricing behavior. Using 5 years of indicative GBP/USD data and 11 U.S. macroeconomic announcements, we find that the price information share gap between the top 10 banks and the rest of the banks increases during the announcements compared to benchmark time. This is supportive evidence for the existence of private information on fundamentals in foreign exchange markets.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
