The asymmetric impact of consumer sentiment announcements on Australian foreign exchange rates

Shumi Akhtar, Robert Faff*, Barry Oliver

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    8 Citations (Scopus)

    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.

    Original languageEnglish
    Pages (from-to)387-403
    Number of pages17
    JournalAustralian Journal of Management
    Volume36
    Issue number3
    DOIs
    Publication statusPublished - Dec 2011

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