Information sources, news, and rumors in financial markets: Insights into the foreign exchange market

Oberlechner, Thomas; Hocking, Sam

doi:10.1016/s0167-4870(02)00189-7

Cited by 105 publications

(67 citation statements)

References 26 publications

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“…Subsequent studies Melick, 1999 and have shown that news reports from wire sources such as Reuters, Bloomberg and Dow Jones capture many more intervention episodes. This is consistent with Oberlechner and Hocking (2004)'s view that newswire services are the most important sources of information available to traders and often reflect both market participants' perceptions and their interpretations.…”

Section: Using Newswire Reports To Identify Public and Secret Intervesupporting

confidence: 86%

Intervention policy of the BoJ: A unified approach

Beine

Bernal²,

Gnabo

et al. 2009

Journal of Banking & Finance

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Intervening in the FX market implies a complex decision process for central banks. Monetary authorities have to decide whether to intervene or not, and if so, when and how. Since the successive steps of this procedure are likely to be highly interdependent, we adopt a nested logit approach to capture their relationships and to characterize the prominent features of the various steps of the intervention decision. Our findings shed some light on the determinants of central bank interventions, on the so-called secrecy puzzle and on the identification of the variables influencing the detection of foreign exchange transactions by market traders. Financial support from the Belgian National Fund for Scientific Research (FRFC Program) is gratefully acknowledged. We would like to thank Cinzia Cirillo for computational assistance as well as Agnès Bénassy-Quéré for providing us with estimates of the fundamental exchange rate value. We are also grateful to Gabriele Galati for sharing his dataset that allows to make some cross-checks with our findings. We thank participants of seminars and conference held in Luxembourg, Paris Nanterres and at the Bank of Canada for comments and suggestions, and in particular G. Galati, C. De Souza and R. Miller. The usual disclaimer applies.

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Section: Using Newswire Reports To Identify Public and Secret Intervesupporting

confidence: 86%

Intervention policy of the BoJ: A unified approach

Beine

Bernal²,

Gnabo

et al. 2009

Journal of Banking & Finance

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“…Central bankers' crucial task is to influence the expectations of economic agents, which in turn will lead to changes in the economic outcome. This paper also contributes to that branch of the finance literature that uses surveys of financial market participants to glean insight into, for example, information acquisition and trading behaviour (see, e.g., Shiller and Pound, 1989;Menkhoff, 1998;Cheung and Chinn, 2001;Oberlechner and Hocking, 2004;Menkhoff and Nikiforow, 2009). However, to the best of our knowledge, none of these papers study the perceptions of financial market participants in regard to central banks and their communications and actions.…”

mentioning

confidence: 98%

Central bank communication in the financial crisis: Evidence from a survey of financial market participants

Hayo

Neuenkirch

2015

Journal of International Money and Finance

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“…McCombs (2004) supports our intuition by asserting that the real news media effect can be achieved only in the long-term, which is contrary to the view that media effects are immediate. Oberlechner and Hocking (2004) suggest that simply listening repeatedly to a story makes it appear credible.…”

Section: Introductionmentioning

confidence: 99%

Media, sentiment and market performance in the long run

Kräussl

Mirgorodskaya²

2016

The European Journal of Finance

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This paper investigates the impact of media pessimism on financial market returns and volatility in the long run. We hypothesize that media sentiment translates into investor sentiment. Based on the underreaction and overreaction hypotheses [Barberis, N., A. Shleifer, and R. Vishny. 1998. "A Model of Investor Sentiment." Journal of Empirical Economics 49 (3): 307-343], we suggest that media pessimism has an effect on market performance after a lag of several months. We construct a monthly media pessimism indicator by taking the ratio of the number of newspaper articles that contain predetermined negative words to the number of newspaper articles that contain predetermined positive words in the headline and in the lead paragraph. Our results indicate that media pessimism is associated with negative (positive) market returns 14-17 (24-25)

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Information sources, news, and rumors in financial markets: Insights into the foreign exchange market

Cited by 105 publications

References 26 publications

Intervention policy of the BoJ: A unified approach

Intervention policy of the BoJ: A unified approach

Central bank communication in the financial crisis: Evidence from a survey of financial market participants

Media, sentiment and market performance in the long run

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