The asymmetric impact of consumer sentiment announcements on Australian foreign exchange rates
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Akhtar, Shumi; Faff, Robert; Oliver, Barry
Description
We examine the effect of consumer sentiment announcements on changes in 13 of the more common foreign exchange rates against the Australian dollar using a consumer sentiment index (CSI). Generally, we find that the CSI possesses information that influences the foreign exchange market. However, we observe an asymmetric effect - when a lower than previous month CSI is announced, the Australian dollar experiences a significant depreciation on the announcement day, but there is no matching...[Show more]
dc.contributor.author | Akhtar, Shumi | |
---|---|---|
dc.contributor.author | Faff, Robert | |
dc.contributor.author | Oliver, Barry | |
dc.date.accessioned | 2015-12-10T21:56:37Z | |
dc.identifier.issn | 0312-8962 | |
dc.identifier.uri | http://hdl.handle.net/1885/39515 | |
dc.description.abstract | We examine the effect of consumer sentiment announcements on changes in 13 of the more common foreign exchange rates against the Australian dollar using a consumer sentiment index (CSI). Generally, we find that the CSI possesses information that influences the foreign exchange market. However, we observe an asymmetric effect - when a lower than previous month CSI is announced, the Australian dollar experiences a significant depreciation on the announcement day, but there is no matching appreciation when positive CSI news occurs. This supports the negativity effect documented in the psychology literature and in the Australian stock market. There is no evidence that the effect is non-linear. | |
dc.publisher | University of New South Wales | |
dc.source | Australian Journal of Management | |
dc.subject | Keywords: asymmetry; foreign exchange markets; investor sentiment | |
dc.title | The asymmetric impact of consumer sentiment announcements on Australian foreign exchange rates | |
dc.type | Journal article | |
local.description.notes | Imported from ARIES | |
local.identifier.citationvolume | 36 | |
dc.date.issued | 2011 | |
local.identifier.absfor | 150205 - Investment and Risk Management | |
local.identifier.ariespublication | u8902633xPUB178 | |
local.type.status | Published Version | |
local.contributor.affiliation | Akhtar, Shumi, College of Business and Economics, ANU | |
local.contributor.affiliation | Faff, Robert, University of Queensland | |
local.contributor.affiliation | Oliver, Barry, College of Business and Economics, ANU | |
local.description.embargo | 2037-12-31 | |
local.bibliographicCitation.issue | 3 | |
local.bibliographicCitation.startpage | 387 | |
local.bibliographicCitation.lastpage | 403 | |
local.identifier.doi | 10.1177/0312896211410723 | |
local.identifier.absseo | 900101 - Finance Services | |
dc.date.updated | 2016-02-24T11:45:34Z | |
local.identifier.scopusID | 2-s2.0-83055187909 | |
Collections | ANU Research Publications |
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