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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| Online Access: | http://hdl.handle.net/20.500.11937/40677 |
| _version_ | 1848755935063834624 |
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| author | Smales, Lee Yang, Y. |
| author_facet | Smales, Lee Yang, Y. |
| author_sort | Smales, Lee |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T09:04:12Z |
| format | Journal Article |
| id | curtin-20.500.11937-40677 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T09:04:12Z |
| publishDate | 2015 |
| publisher | Elsevier BV |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-406772018-02-12T23:56:20Z The importance of belief dispersion in the response of gold futures to macroeconomic announcements Smales, Lee Yang, Y. Belief dispersion Gold futures COMEX Macroeconomic announcements High-frequency 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. 2015 Journal Article http://hdl.handle.net/20.500.11937/40677 10.1016/j.irfa.2015.01.017 Elsevier BV fulltext |
| spellingShingle | Belief dispersion Gold futures COMEX Macroeconomic announcements High-frequency Smales, Lee Yang, Y. The importance of belief dispersion in the response of gold futures to macroeconomic announcements |
| title | The importance of belief dispersion in the response of gold futures to macroeconomic announcements |
| title_full | The importance of belief dispersion in the response of gold futures to macroeconomic announcements |
| title_fullStr | The importance of belief dispersion in the response of gold futures to macroeconomic announcements |
| title_full_unstemmed | The importance of belief dispersion in the response of gold futures to macroeconomic announcements |
| title_short | The importance of belief dispersion in the response of gold futures to macroeconomic announcements |
| title_sort | importance of belief dispersion in the response of gold futures to macroeconomic announcements |
| topic | Belief dispersion Gold futures COMEX Macroeconomic announcements High-frequency |
| url | http://hdl.handle.net/20.500.11937/40677 |