News announcements and price discovery in the RMB–USD market

被引：0
作者：
Yu-Lun Chen
机构：
[1] Chung Yuan Christian University,Department of Finance, College of Business
来源：
Review of Quantitative Finance and Accounting | 2020年 / 54卷
关键词：
Price discovery; USD/CNH; Central parity quotations; Macroeconomic news announcements; F31; F38; G15;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This study investigates the impact of improved central parity quotations in the Chinese Renminbi on price discovery in onshore (USD/CNY) and offshore (USD/CNH) markets. Chinese news releases refer to the gross domestic product, trade balances, and foreign exchange reserves; U.S. news features information on the meetings, statements, and minutes of the Federal Open Market Committee. They all have positive impacts on price discovery in the USD/CNH market. The greater contribution by the USD/CNH market to price discovery can be attributed to an improved quotation policy, which has enabled central parity to incorporate and transmit more USD/CNH information to the USD/CNY market.
引用
收藏
页码：1487 / 1508
页数：21
相关论文
共 91 条
  • [1] Baillie RT(2002)Price discovery and common factor models J Financ Mark 5 309-321
  • [2] Booth GG(1999)Price discovery in the German equity index derivatives markets J Futur Mark 19 619-643
  • [3] Tse Y(2004)Informed trading in stock and option markets J Finance 59 1235-1257
  • [4] Zabotina T(2013)The effectiveness of position limits: evidence from the foreign exchange futures markets J Bank Finance 37 4501-4509
  • [5] Booth GG(1998)Information and volatility in futures and spot markets: the case of the Japanese yen J Futur Mark 18 201-223
  • [6] So RW(2009)Tick sizes and relative rates of price discovery in stock, futures and options markets: evidence from the Taiwan stock exchange J Futur Mark 29 74-93
  • [7] Tse Y(2010)News announcements and price discovery in foreign exchange spot and futures market J Bank Finance 34 1628-1636
  • [8] Chakravarty S(2014)Discounts and investment performance of Chinese PIPEs’ J Portf Manag 41 41-56
  • [9] Gulen H(2016)Trading activities and price discovery in foreign currency futures markets Rev Quant Finance Account 46 793-818
  • [10] Mayhew S(2019)Price discovery and price leadership of various investor types: evidence from Taiwan futures markets Rev Quant Finance Account 53 601-631
12345678910