The importance of belief dispersion in the response of gold futures to macroeconomic announcements
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 unemploym...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
Elsevier BV
2015
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/40677 |