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

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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...

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Bibliographic Details
Main Authors:	Smales, Lee, Yang, Y.
Format:	Journal Article
Published:	Elsevier BV 2015
Subjects:	Belief dispersion Gold futures COMEX Macroeconomic announcements High-frequency
Online Access:	http://hdl.handle.net/20.500.11937/40677

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