Volatility in the Foreign Currency Futures Market
AbstractWe examine the volatility implications of around-the-clock foreign exchange trading with transaction data on futures contracts from the Chicago Mercantile Exchange and the London International Financial Futures Exchange. We find higher U.S.-European and U.S.-Japanese exchange-rate volatilities during U.S. trading hours and higher European cross-rate volatilities during European trading hours. While the diclosure of private information through trading may partly explain these volatility patterns, we conclude that the increased volatility is more likely driven by macroeconomic news announcements. An analysis of inter- and intraday data also reveals that volatility increases at times that coincide with the release of U.S. macroeconomic news. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Society for Financial Studies in its journal Review of Financial Studies.
Volume (Year): 4 (1991)
Issue (Month): 3 ()
Contact details of provider:
Postal: Oxford University Press, Journals Department, 2001 Evans Road, Cary, NC 27513 USA.
Web page: http://www.rfs.oupjournals.org/
More information through EDIRC
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oxford University Press) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.