The asymmetric impact of consumer sentiment announcements on Australian foreign exchange rates/ created by Shumi Akhtar, Robert Faff and Barry Oliver

By:

Akhtar, Shumi [author]

Contributor(s):

Material type: Text

TextSeries: Australian journal of management ; Volume 36, number 3Los Angeles : Sage, 2011Content type:

text

Media type:

unmediated

Carrier type:

volume

ISSN:

03128962

Subject(s):

Asymmetry -- Foreign exchange markets -- Investor sentiment -- Australia

LOC classification:

HD31 AUS

Online resources:

Click here to access online

Abstract: We examine the effect of consumer sentiment announcements on changes in 13 of the more common foreign exchange rates against the Australian dollar using a consumer sentiment index (CSI). Generally, we find that the CSI possesses information that influences the foreign exchange market. However, we observe an asymmetric effect – when a lower than previous month CSI is announced, the Australian dollar experiences a significant depreciation on the announcement day, but there is no matching appreciation when positive CSI news occurs. This supports the negativity effect documented in the psychology literature and in the Australian stock market. There is no evidence that the effect is non-linear.

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Holdings
Item type	Current library	Call number	Vol info	Status	Notes	Date due	Barcode
Journal Article	Main Library - Special Collections	HD31 AUS (Browse shelf(Opens below))	Vol. 36, no.3 (pages 387-404)	Not for loan	For in house use only

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We examine the effect of consumer sentiment announcements on changes in 13 of the more common foreign exchange rates against the Australian dollar using a consumer sentiment index (CSI). Generally, we find that the CSI possesses information that influences the foreign exchange market. However, we observe an asymmetric effect – when a lower than previous month CSI is announced, the Australian dollar experiences a significant depreciation on the announcement day, but there is no matching appreciation when positive CSI news occurs. This supports the negativity effect documented in the psychology literature and in the Australian stock market. There is no evidence that the effect is non-linear.

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