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Determinants of periodic volatility of intraday exchange rates in the Taipei FX Market

  • Hua, Mingshu
  • Gau, Yin-Feng

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Article provided by Elsevier in its journal Pacific-Basin Finance Journal.

Volume (Year): 14 (2006)
Issue (Month): 2 (April)
Pages: 193-208

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Handle: RePEc:eee:pacfin:v:14:y:2006:i:2:p:193-208
Contact details of provider: Web page: http://www.elsevier.com/locate/pacfin

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  1. Dacorogna, Michael M. & Muller, Ulrich A. & Nagler, Robert J. & Olsen, Richard B. & Pictet, Olivier V., 1993. "A geographical model for the daily and weekly seasonal volatility in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 12(4), pages 413-438, August.
  2. Li‐Ming Han & John L. Kling & Clifford W. Sell, 1999. "Foreign exchange futures volatility: Day‐of‐the‐week, intraday, and maturity patterns in the presence of macroeconomic announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 19(6), pages 665-693, 09.
  3. Chang, Yuanchen & Taylor, Stephen J., 2003. "Information arrivals and intraday exchange rate volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(2), pages 85-112, April.
  4. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
  5. Naranjo, Andy & Nimalendran, M, 2000. "Government Intervention and Adverse Selection Costs in Foreign Exchange Markets," Review of Financial Studies, Society for Financial Studies, vol. 13(2), pages 453-77.
  6. Cornett, Marcia Millon & Schwarz, Thomas V. & Szakmary, Andrew C., 1995. "Seasonalities and intraday return patterns in the foreign currency futures market," Journal of Banking & Finance, Elsevier, vol. 19(5), pages 843-869, August.
  7. Payne, Richard, 2003. "Informed trade in spot foreign exchange markets: an empirical investigation," Journal of International Economics, Elsevier, vol. 61(2), pages 307-329, December.
  8. Kathryn M. E. Dominguez, 2003. "When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?," Working Papers 506, Research Seminar in International Economics, University of Michigan.
  9. French, Kenneth R. & Roll, Richard, 1986. "Stock return variances : The arrival of information and the reaction of traders," Journal of Financial Economics, Elsevier, vol. 17(1), pages 5-26, September.
  10. Kathryn M. Dominguez, 1999. "The Market Microstructure of Central Bank Intervention," NBER Working Papers 7337, National Bureau of Economic Research, Inc.
  11. Chang, Yuanchen & Taylor, Stephen J., 1998. "Intraday effects of foreign exchange intervention by the Bank of Japan1," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 191-210, February.
  12. Martin D. D. Evans & Richard K. Lyons, 2002. "Order Flow and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 110(1), pages 170-180, February.
  13. Melvin, Michael & Yin, Xixi, 2000. "Public Information Arrival, Exchange Rate Volatility, and Quote Frequency," Economic Journal, Royal Economic Society, vol. 110(465), pages 644-61, July.
  14. David A. Hsieh & Allan W. Kleidon, 1996. "Bid-Ask Spreads in Foreign Exchange Markets: Implications for Models of Asymmetric Information," NBER Chapters, in: The Microstructure of Foreign Exchange Markets, pages 41-72 National Bureau of Economic Research, Inc.
  15. Cheung, Yan-Leung & Ho, Richard Yan-Ki & Pope, Peter & Draper, Paul, 1994. "Intraday stock return volatility: The Hong Kong evidence," Pacific-Basin Finance Journal, Elsevier, vol. 2(2-3), pages 261-276, May.
  16. Gau, Yin-Feng, 2005. "Intraday volatility in the Taipei FX market," Pacific-Basin Finance Journal, Elsevier, vol. 13(4), pages 471-487, September.
  17. Richard K. Lyons., 1995. "Foreign Exchange Volume: Sound and Fury Signifying Nothing?," Research Program in Finance Working Papers RPF-243, University of California at Berkeley.
  18. Baillie, Richard T & Bollerslev, Tim, 1991. "Intra-day and Inter-market Volatility in Foreign Exchange Rates," Review of Economic Studies, Wiley Blackwell, vol. 58(3), pages 565-85, May.
  19. Mark D. Flood, 1993. "Market structure and inefficiency in the foreign exchange market," Working Papers 1991-001, Federal Reserve Bank of St. Louis.
  20. Anat R. Admati, Paul Pfleiderer, 1988. "A Theory of Intraday Patterns: Volume and Price Variability," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 3-40.
  21. Klein, Michael W., 1993. "The accuracy of reports of foreign exchange intervention," Journal of International Money and Finance, Elsevier, vol. 12(6), pages 644-653, December.
  22. Philippe Jorion, 1996. "Risk and Turnover in the Foreign Exchange Market," NBER Chapters, in: The Microstructure of Foreign Exchange Markets, pages 19-40 National Bureau of Economic Research, Inc.
  23. Bossaerts, Peter & Hillion, Pierre, 1991. "Market Microstructure Effects of Government Intervention in the Foreign Exchange Market," Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 513-41.
  24. Richard K. Lyons, 1993. "Tests of Microstructural Hypotheses in the Foreign Exchange Market," NBER Working Papers 4471, National Bureau of Economic Research, Inc.
  25. Evans, Martin D. D. & Lyons, Richard K., 2002. "Informational integration and FX trading," Journal of International Money and Finance, Elsevier, vol. 21(6), pages 807-831, November.
  26. Goodhart, C A E & Giugale, M, 1993. "From Hour to Hour in the Foreign Exchange Market," The Manchester School of Economic & Social Studies, University of Manchester, vol. 61(1), pages 1-34, March.
  27. Takezawa, Nobuya, 1995. "A note on intraday foreign exchange volatility and the informational role of quote arrivals," Economics Letters, Elsevier, vol. 48(3-4), pages 399-404, June.
  28. Bollerslev, Tim & Ghysels, Eric, 1996. "Periodic Autoregressive Conditional Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(2), pages 139-51, April.
  29. Berry, Thomas D & Howe, Keith M, 1994. " Public Information Arrival," Journal of Finance, American Finance Association, vol. 49(4), pages 1331-46, September.
  30. Y. -F. Gau & M. Hau, 2004. "Public information, private information, inventory control, and volatility of intraday NTD/USD exchange rates," Applied Economics Letters, Taylor & Francis Journals, vol. 11(4), pages 263-266.
  31. Peiers, Bettina, 1997. " Informed Traders, Intervention, and Price Leadership: A Deeper View of the Microstructure of the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 52(4), pages 1589-1614, September.
  32. Harvey, Campbell R & Huang, Roger D, 1991. "Volatility in the Foreign Currency Futures Market," Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 543-69.
  33. Bessembinder, Hendrik, 1994. "Bid-ask spreads in the interbank foreign exchange markets," Journal of Financial Economics, Elsevier, vol. 35(3), pages 317-348, June.
  34. Andersen, Torben G. & Bollerslev, Tim & Cai, Jun, 2000. "Intraday and interday volatility in the Japanese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(2), pages 107-130, June.
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