Dr Baback Roodbar baback.roodbar@durham.ac.uk
Assistant Professor
This paper investigates whether the release of market-relevant news in the form of rumours on Twitter can explain the excess of market volatility previously attributed to private information, speculation, and noise traders. We define a simple theoretical model to show that the systematic information content of such rumours should result in detectable price effects in macro-markets. We then pinpoint the arrival of 63 rumours of forthcoming ECB actions over a 420-day sample of one-minute spot EUR-USD rates, and show that there is a real-time, intraday increase in market volatility. This largely unexplored information set can potentially account for significant amounts of unexplained volatility in macro-markets and, therefore, identify a possible explanation of one of the most prominent puzzles in price discovery research.
Roodbar, B., Metcalf, H., & Casalin, F. (2019). Trading European Central Bank rumours on the EUR-USD exchange rate market. International Review of Financial Analysis, 61, 53-70. https://doi.org/10.1016/j.irfa.2018.11.001
Journal Article Type | Article |
---|---|
Acceptance Date | Nov 6, 2018 |
Online Publication Date | Nov 9, 2018 |
Publication Date | Jan 31, 2019 |
Deposit Date | Aug 2, 2019 |
Publicly Available Date | Sep 4, 2019 |
Journal | International Review of Financial Analysis |
Print ISSN | 1057-5219 |
Electronic ISSN | 1873-8079 |
Publisher | Elsevier |
Peer Reviewed | Peer Reviewed |
Volume | 61 |
Pages | 53-70 |
DOI | https://doi.org/10.1016/j.irfa.2018.11.001 |
Public URL | https://durham-repository.worktribe.com/output/1296036 |
Accepted Journal Article
(1.2 Mb)
PDF
Publisher Licence URL
http://creativecommons.org/licenses/by-nc-nd/4.0/
Copyright Statement
© 2019 This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/
About Durham Research Online (DRO)
Administrator e-mail: dro.admin@durham.ac.uk
This application uses the following open-source libraries:
Apache License Version 2.0 (http://www.apache.org/licenses/)
Apache License Version 2.0 (http://www.apache.org/licenses/)
SIL OFL 1.1 (http://scripts.sil.org/OFL)
MIT License (http://opensource.org/licenses/mit-license.html)
CC BY 3.0 ( http://creativecommons.org/licenses/by/3.0/)
Powered by Worktribe © 2025
Advanced Search