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Public News (public + news)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	80%

Selected Abstracts

Natural gas prices and the gas storage report: Public news and volatility in energy futures markets

THE JOURNAL OF FUTURES MARKETS, Issue 3 2004
Scott C. Linn
This study examines the short-term volatility of natural gas prices through an examination of the intraday prices of the nearby natural gas futures contract traded on the New York Mercantile Exchange. The influence on volatility of what many regard as a key element of the information set influencing the natural gas market is investigated. Specifically, we examine the impact on natural gas futures price volatility of the Weekly American Gas Storage Survey report compiled and issued by the American Gas Association during the period January 1, 1999 through May 3, 2002 and the subsequent weekly report compiled and issued by the U.S. Energy Information Administration after May 6, 2002. We find that the weekly gas storage report announcement was responsible for considerable volatility at the time of its release and that volatility up to 30 minutes following the announcement was also higher than normal. Aside from these results, we document pronounced price volatility in this market both at the beginning of the day and at the end of the day and offer explanations for such behavior. Our results are robust to the manner in which the mean percentage change in the futures price is estimated and to correlation of these changes both within the day and across days. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:283,313, 2004 [source]

Asymmetric information, price discovery and macroeconomic announcements in FX market: do top trading banks know more?

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 3 2010
Kate Phylaktis
Abstract This study investigates information asymmetry in the foreign exchange market by testing the hypothesis that top trading banks possess superior information on the macroeconomy because they process greater order flow, which, according to the micro-structure literature, helps them aggregate the dispersed information and feel the general movements of the economy. Examining the information share of the banks in the Reuters EFX system using indicative GBP,$US data over 5 years, we find that the top 10 banks, out of 100 quoting banks in the market, have a monthly average share of over 70% of total market information, and around 80% during some US macroannouncements. These results suggest the possibility of private information over public news in the foreign exchange market. Copyright © 2009 John Wiley & Sons, Ltd. [source]

The Long-Lasting Momentum in Weekly Returns

THE JOURNAL OF FINANCE, Issue 1 2008
ROBERTO C. GUTIERREZ JR
ABSTRACT Reversal is the current stylized fact of weekly returns. However, we find that an opposing and long-lasting continuation in returns follows the well-documented brief reversal. These subsequent momentum profits are strong enough to offset the initial reversal and to produce a significant momentum effect over the full year following portfolio formation. Thus, ex post, extreme weekly returns are not too extreme. Our findings extend to weekly price movements with and without public news. In addition, there is no relation between news uncertainty and the momentum in 1-week returns. [source]

FX Trading and Exchange Rate Dynamics

THE JOURNAL OF FINANCE, Issue 6 2002
Martin D. D. Evans
I examine the sources of exchange rate dynamics by focusing on the information structure of FX trading. This structure permits the existence of an equilibrium distribution of transaction prices at a point in time. I develop and estimate a model of the price distribution using data from the Deutsche mark/dollar market that prroduces two striking results:(1) Much of the short-term volatility in exchange rates comes from sampling the heterogeneous trading decisions of dealers in a distribution that, under normal market conditions, changes comparatively slowly; (2) public news is rarely the predominant source of exchange rate movements over anyhorizon. [source]

Flashbulb memories for expected events: a test of the emotional-integrative model

APPLIED COGNITIVE PSYCHOLOGY, Issue 1 2009
Antonietta Curci
Flashbulb memories (FBMs) are vivid, long-lasting and consistent recollections for the reception context of shocking and unexpected public news. Only a few studies have assessed FBMs for predictable events. In the present study the emotional-integrative model is considered to account for FBMs for an expected event, that is, the death of President Mitterrand, across two national groups, that are, French and Belgian citizens. Results showed that FBMs can develop for an expected event; they are affected by its emotional impact and subsequent rehearsal, while surprise did not play a role in their formation. The emotional-integrative model was confirmed as a promising tool to model datasets on FBMs. It holds for both subsamples, with a better parsimony for Belgian respondents' data. Implications for the debate about the nature of FBMs are discussed. Copyright © 2008 John Wiley & Sons, Ltd. [source]