In 2017 the UK Statistics Authority discontinued the early access of government officials to market-sensitive macroeconomic data. We examine the effect of this policy change on price adjustment in the foreign exchange futures market around major U.K. macroeconomic announcements. Three...

This paper investigates the impact of Twitter attention, measured by abnormal number of tweets on stock trading activities. We find that Twitter attention has predictive power for future stock volatility and trading volume. A heightened number of tweets is followed by high volatility and trading...