#2233. Price discovery and liquidity recovery: Forex market reactions to macro announcements

September 2026publication date
Proposal available till 30-05-2025
4 total number of authors per manuscript6020 $

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Journal’s subject area:
Finance;
Economics and Econometrics;
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Abstract:
Using the EBS high-frequency data, the post-macro announcement forex market quality has been examined. Considering the rise of high-frequency traders, the market quality is conjectured to have improved. However, after the macro announcements, the speed of price discovery has changed little and the speed of liquidity recovery has slowed down over the years. Price discovery is shown to have improved when influences from declining trading volumes are controlled for. After the announcements, the number of high-frequency traders increases; liquidity improves, but price discovery slows down. The finding implies that those traders in the post-announcement market behave more like uninformed traders.
Keywords:
Exchange rate; High-frequency data; High-frequency trading; Liquidity; Macro announcement; Market microstructure; Market quality; Price discovery

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