Trading volume, volatility and bank of Japan intervention
This 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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Volume (Year): 1 (2005)
Issue (Month): 2 (March)
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References listed on IDEAS
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- Dominguez, Kathryn M., 1998. "Central bank intervention and exchange rate volatility1," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 161-190, February.
- Jeffrey A. Frankel & Giampaolo Galli & Alberto Giovannini, 1996. "The Microstructure of Foreign Exchange Markets," NBER Books, National Bureau of Economic Research, Inc, number fran96-1, December.
- Mark P. Taylor & Lucio Sarno, 2001.
"Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work?,"
Journal of Economic Literature,
American Economic Association, vol. 39(3), pages 839-868, September.
- Sarno, Lucio & Taylor, Mark P, 2001. "Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work?," CEPR Discussion Papers 2690, C.E.P.R. Discussion Papers.
- Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 109-126, March.
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