Drift Begone! Release Policies and Preannouncement Informed Trading
| Autor: | Marketa Halova Wolfe, Alexander Kurov, Alessio Sancetta |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
Economics and Econometrics
History Government Polymers and Plastics Industrial production Market reaction Futures market Monetary economics Release time Industrial and Manufacturing Engineering Consumer price index Business Foreign exchange Business and International Management Foreign exchange market Finance |
| Zdroj: | SSRN Electronic Journal. |
| ISSN: | 1556-5068 |
| DOI: | 10.2139/ssrn.3502748 |
| Popis: | In 2017 the UK Statistics Authority discontinued the early access of government officials to market-sensitive macroeconomic data. We examine the effect of this policy change on price adjustment in the foreign exchange futures market around major U.K. macroeconomic announcements. Three macroeconomic announcements (consumer price index, industrial production, and retail sales) show strong evidence of informed trading before their public releases until 2017. This preannouncement price drift weakens with the end of the prerelease access. Consistent with less informed trading before the announcements, the market reaction to the announcements at the official release time has become larger, and the speed of adjustment has become slower. Our findings have policy implications for countries that still utilize macroeconomic announcement prereleases to government officials. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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