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Does news matter in China's foreign exchange market? Chinese RMB volatility and public information arrivals

Ho, Kin-Yip; Zhang, Zhaoyong; Shi, Yanlin


This paper examines the impact of public information flows on the volatility of the bilateral Chinese Renminbi–US dollar (RMB–USD) exchange rates in the spot, non-deliverable forward (NDF) and futures markets. By using the comprehensive RavenPack Dow Jones News Analytics database that captures Chinese and US macroeconomic news releases and their sentiment scores at high frequencies, we investigate the circumstances in which public news sentiment is related to the volatility of the above...[Show more]

CollectionsANU Research Publications
Date published: 2017
Type: Journal article
Source: International Review of Economics and Finance
DOI: 10.1016/j.iref.2017.01.016


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