News announcements, market activity and volatility in the euro/dollar foreign exchange market
نویسندگان
چکیده
We study the impact of nine categories of scheduled and unscheduled news announcements on the euro/ dollar return volatility. We highlight and analyze the pre-announcement, contemporaneous and postannouncement reactions. Using high-frequency intraday data and within the framework of ARCH-type models, we show that volatility increases in the pre-announcement periods, particularly before scheduled events. Market activity also significantly impacts return volatility as expected by the theoretical literature on the order flow. 2005 Elsevier Ltd. All rights reserved. JEL classification: C13; C22; F31; G14
منابع مشابه
Core Discussion Paper 2003/29 News Announcements, Market Activity and Volatility in the Euro/dollar Foreign Exchange Market
This paper deals with the impact of nine categories of scheduled and unscheduled news announcements on the Euro/Dollar return volatility. We highlight and analyze the pre-announcement, contemporaneous and postannouncement reactions. Using high-frequency intraday data and within the framework of ARCH-type and realized volatility models, we show that volatility increases in the pre-announcement p...
متن کاملannouncements , market activity and volatility in the Euro / Dollar foreign exchange market
This paper deals with the impact of nine categories of scheduled and unscheduled news announcements on the Euro/Dollar return volatility. We highlight and analyze the pre-announcement, contemporaneous and postannouncement reactions. Using high-frequency intraday data and within the framework of ARCH-type and realized volatility models, we show that volatility increases in the pre-announcement p...
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