announcements , market activity and volatility in the Euro / Dollar foreign exchange market
نویسندگان
چکیده
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 periods, particularly before scheduled events. Market activity also significantly impacts return volatility as expected by the theoretical literature on order flow.
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 کاملNews announcements, market activity and volatility in the euro/dollar foreign exchange market
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 schedule...
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