Trading volume, volatility and bank of Japan intervention
AbstractThis study examines the relationship between JPY/USD futures trading activities and foreign exchange intervention by the Bank of Japan from 1991 through 2000. It finds that there is a positive relationship between JPY/USD futures volume and volatility as predicted by the mixture of distribution hypothesis. This effect remains significant even when volume and volatility are conditioned on contemporaneous or lagged intervention by the Bank of Japan. It concludes that positive correlation between volume and volatility could result from information other than intervention by the Bank of Japan.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.
Volume (Year): 1 (2005)
Issue (Month): 2 (March)
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Web page: http://www.tandfonline.com/RAFL20
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