Friday, April 28, 2017

Good news

The UK issues economic reports that set markets.  Everyone leaks the information, naturally. The UK government should just share the data as it comes in.  The UK government is getting clobbered in the sandbox until they figure this out.

The analysis was carried out by Alexander Kurov, Associate Professor of Finance at West Virginia University, for the Wall Street Journal. Readers might recognize his name as he co-authored a working paper published by the ECB last year that suggested some US economic data is leaked ("Price drift before U.S. macroeconomic news: private information about public announcements?").
For the UK, Professor Kurov found significant price drift in both Gilt futures and the British pound prior to the time of release for inflation, industrial production and labour market data. By contrast, he found no evidence of information leakage for Swedish economic releases when looking at the price action in the Swedish krona. His study shows that in the UK, in the hour prior to the publication of the economic figures, about half of the impact of the data is priced into the market. There is almost no pre-release impact in Sweden, where the move in EURSEK, the most liquid krona-denominated product, averaged less than the bid/offer spread.

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