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Further Evidence on Foreign Exchange Jumps and News Announcements

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  • Michael Frömmel
  • Xing Han
  • Frederick Van Gysegem

Abstract

We apply the bipower variation technique to characterize the jump dynamics in the HUF/EUR market and examine the link between jumps and news announcements of various sources. Our findings confirm that jumps are prevalent, large, and account for approximately one-half of the total volatility during jump days. More important, we find that nearly half of the significant jumps are explained by scheduled and unscheduled news releases, confirming the dynamic announcement effect in the foreign exchange (FX) market. Finally, the postjump reversal patterns suggest that the realized jumps are mostly information based, whether they are obviously linked with news or not.

Suggested Citation

  • Michael Frömmel & Xing Han & Frederick Van Gysegem, 2015. "Further Evidence on Foreign Exchange Jumps and News Announcements," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 51(4), pages 774-787, July.
    • Handle: RePEc:mes:emfitr:v:51:y:2015:i:4:p:774-787
    DOI: 10.1080/1540496X.2015.1046348
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    Cited by:

    1. Kuttu, Saint & Aboagye, Anthony Q.Q. & Bokpin, Godfred A., 2018. "Evidence of time-varying conditional discrete jump dynamics in sub-Saharan African foreign exchange markets," Research in International Business and Finance, Elsevier, vol. 46(C), pages 211-226.
    2. Liu, Wenwen & Zhang, Chang & Qiao, Gaoxiu & Xu, Lei, 2022. "Impact of network investor sentiment and news arrival on jumps," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    3. Ahmad, Wasim & Prakash, Ravi & Uddin, Gazi Salah & Chahal, Rishman Jot Kaur & Rahman, Md. Lutfur & Dutta, Anupam, 2020. "On the intraday dynamics of oil price and exchange rate: What can we learn from China and India?," Energy Economics, Elsevier, vol. 91(C).
    4. Johannes Stübinger & Lucas Schneider, 2019. "Statistical Arbitrage with Mean-Reverting Overnight Price Gaps on High-Frequency Data of the S&P 500," JRFM, MDPI, vol. 12(2), pages 1-19, April.
    5. Tomasz Schabek & Bojana Olgiæ Draženoviæ & Davor Mance, 2019. "Reaction of Zagreb Stock Exchange CROBEX Index to macroeconomic announcements within a high frequency time interval," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 37(2), pages 741-758.
    6. Brzeszczyński, Janusz & Gajdka, Jerzy & Kutan, Ali M., 2015. "Investor response to public news, sentiment and institutional trading in emerging markets: A review," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 338-352.
    7. RNuket Kirci Cevik & Sel Dibooglu & Ali M. Kutan, 2016. "Real and Financial Sector Studies in Central and Eastern Europe: A Review," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(1), pages 2-31, February.

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