This article examines the price discovery function around releases of macroeconomic announcements to explore the informational efficiency of prices in a 24-hour trading platform. We study the contribution to price discovery of four periods of trading, including the Asian, European, European-U.S....

This paper investigate whether the effects of U.S. news announcements has influence on liquidity commonality during financial crisis periods. We construct a market-wide liquidity risk in the foreign exchange market by using Generalized Dynamic Factor Model (GDFM) model. We show that strong...