Country News Sentiment Factors Predict Forex Prices

35 Pages Posted: 26 May 2013

Date Written: April 3, 2013

Abstract

In this study, we test a set of country macro sentiment indexes that measure the trailing sentiment on both scheduled and unscheduled economic and geopolitical news events. We develop a cross-over strategy in the FX market based on short to long-term news sentiment inflection points covering the seven major currency pairs. The sentiment indexes are proven to predict short-term price movements in the major currency pairs for up to several hours after an inflection point.

Keywords: news analytics, macro, news, Forex, RavenPack, Country sentiment, sentiment index, sentiment factor

JEL Classification: F31, G10, G12, G14, G15

Suggested Citation

Hafez, Peter and Xie, Junqiang, Country News Sentiment Factors Predict Forex Prices (April 3, 2013). Available at SSRN: https://ssrn.com/abstract=2269716 or http://dx.doi.org/10.2139/ssrn.2269716

Peter Hafez (Contact Author)

RavenPack International ( email )

Centro de Negocios Oasis, Of. 8
Ctra. de Cadiz Km. 176
Marbella, Malaga 29602
Spain
+44 (0)20 3290 7395 (Phone)

HOME PAGE: http://www.ravenpack.com

Junqiang Xie

RavenPack ( email )

260 Madison Ave., 8th Floor
New York, NY 10016
United States
+1 646 216 2140 (Phone)

HOME PAGE: http://www.ravenpack.com

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