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https://archive.cm.mahidol.ac.th/handle/123456789/1652
Full metadata record
DC Field | Value | Language |
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dc.contributor.author | Thanapoom Eungtrakool | - |
dc.date.accessioned | 2021-03-23T09:17:36Z | - |
dc.date.available | 2021-03-23T09:17:36Z | - |
dc.date.issued | 2016-05-23 | - |
dc.identifier | TP FM.003 2016 | - |
dc.identifier.citation | 2016 | - |
dc.identifier.uri | https://archive.cm.mahidol.ac.th/handle/123456789/1652 | - |
dc.description.abstract | In this paper, we examine the impact of news announcements to the currency exchange by using event study methodology. Focusing on data from GBP-NZD. The currency exchange data is collected for the past eight years (January 2007 to September 2015) with one minute timeframe. We calculate average returns for 5, 15 and 30-minute intervals. And for news announcement, we use 165 economic news from two countries (United Kingdom and New Zealand) which are classified into four degrees (0, 1, 2, 3) based on the degree of likely impacts to currency exchanges. Our result suggests that the news classification by forexfactory.com has no impact on each currency. Secondly, although our result shows economic news has an impact to currency exchange, we cannot be specific whether single or multiple news announcement has more impact on currency exchange than each other. And last, for each news announcement, we are able to identify highest abnormal return and significant t-test within the specific 120 minutes before news announcement and 240 minutes after news announcement. Once we identify the highest abnormal return and significant t-test, we are able to scope down a profitable period for an investor by suggesting a specific entry and exit time period for trading. | - |
dc.publisher | มหาวิทยาลัยมหิดล | - |
dc.subject | New Announcement | - |
dc.subject | Even Study | - |
dc.subject | Currency Exchange | - |
dc.subject | GBP-NZD | - |
dc.title | NEW EVENT SURPRISE ON CURRENCY EXCHANGE: EVIDENT FROM GBP-NZD | - |
dc.type | Thematic Paper | - |
Appears in Collections: | Thematic Paper |
Files in This Item:
File | Description | Size | Format | |
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TP FM.003 2016.pdf | 303.66 kB | Adobe PDF | ![]() View/Open |
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