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News announcements, market activity and volatility in the euro/dollar foreign exchange market

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  • Bauwens, Luc
  • Ben Omrane, Walid
  • Giot, Pierre

Abstract

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.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 24 (2005)
Issue (Month): 7 (November)
Pages: 1108-1125

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Handle: RePEc:eee:jimfin:v:24:y:2005:i:7:p:1108-1125

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Web page: http://www.elsevier.com/locate/inca/30443

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