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    The importance of belief dispersion in the response of gold futures to macroeconomic announcements

    227313.pdf (566.4Kb)
    Access Status
    Open access
    Authors
    Smales, Lee
    Yang, Y.
    Date
    2015
    Type
    Journal Article
    
    Metadata
    Show full item record
    Citation
    Smales, L. and Yang, Y. 2015. The importance of belief dispersion in the response of gold futures to macroeconomic announcements. International Review of Financial Analysis. 41: pp. 592-302.
    Source Title
    International Review of Financial Analysis
    DOI
    10.1016/j.irfa.2015.01.017
    ISSN
    1057-5219
    School
    School of Economics and Finance
    URI
    http://hdl.handle.net/20.500.11937/40677
    Collection
    • Curtin Research Publications
    Abstract

    We investigate the behaviour of gold futures around the release of macroeconomic announcements. Market activity, in terms of traded volume, returns, and volatility, responds to new information quickly, with the majority of the reaction complete within 90-s. Surprises on the announcement of unemployment rate and GDP have the largest impact. Contrary to prior results for the equity market, gold futures exhibit greater reactions to ‘good’ economic news (which is negative for gold prices) and the magnitude of the response does not appear to increase during recession. Importantly, we employ a novel measure of belief dispersion, and we are able to demonstrate that the market response to macroeconomic news is significantly larger when belief dispersion is wider.

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