Price discovery and liquidity recovery: Forex market reactions to macro announcements
利用EBS高频数据，研究了宏观公告后外汇市场质量的变化，发现价格发现速度变化不大，流动性恢复速度逐年减慢，且高频交易者增多后流动性改善但价格发现变慢。
Using the EBS high-frequency data, the post-macro announcement forex market quality has been examined. Considering the rise of high-frequency traders, the market quality is conjectured to have improved. However, after the macro announcements, the speed of price discovery has changed little and the speed of liquidity recovery has slowed down over the years. Price discovery is shown to have improved when influences from declining trading volumes are controlled for. After the announcements, the number of high-frequency traders increases; liquidity improves, but price discovery slows down. The finding implies that those traders in the post-announcement market behave more like uninformed traders.