Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
Using the EBS high-frequency data, the post-macro announcement forex market quality has been examined. Considering the rise of high-frequency traders, the market quality is conjectured to have improved. However, after the macro announcements, the speed of price discovery has changed little and the speed of liquidity recovery has slowed down over the years. Price discovery is shown to have improved when influences from declining trading volumes are controlled for. After the announcements, the number of high-frequency traders increases; liquidity improves, but price discovery slows down. The finding implies that those traders in the post-announcement market behave more like uninformed traders.