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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.

(This abstract was borrowed from another version of this item.)

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Paper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers RP with number -1787.

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Handle: RePEc:cor:louvrp:-1787

Note: In : Journal of International Money and Finance, 24, 1108-1125, 2005
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  16. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
  17. Lyons, R.K., 1991. "Private Beliefs and Information Externalities in the Foreign Exchange Market," Papers 91-17, Columbia - Graduate School of Business.
  18. Michael Melvin & Xixi Yin, . "Public Information Arrival, Exchange Rate Volatility, and Quote Frequency," Working Papers 96/1, Arizona State University, Department of Economics.
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  21. Cai, Jun & Cheung, Yan-Leung & Lee, Raymond S. K. & Melvin, Michael, 2001. "'Once-in-a-generation' yen volatility in 1998: fundamentals, intervention, and order flow," Journal of International Money and Finance, Elsevier, vol. 20(3), pages 327-347, June.
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