IDEAS home Printed from https://ideas.repec.org/a/wly/jfutmk/v21y2001i9p851-860.html
   My bibliography  Save this article

Foreign‐Exchange Trading Volume and Federal Reserve Intervention

Author

Listed:
  • Alain Chaboud
  • Blake LeBaron

Abstract

We find a large positive correlation between daily trading volume in currency futures markets and foreign‐exchange intervention by the Federal Reserve over the period 1979 to 1996. Neither contemporaneous nor predicted volatility can fully account for the increases in trading activity. Whether or not the intervention operation is publicly reported appears to be an important determinant of trading volume. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:851‒860, 2001

Suggested Citation

  • Alain Chaboud & Blake LeBaron, 2001. "Foreign‐Exchange Trading Volume and Federal Reserve Intervention," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 21(9), pages 851-860, September.
    • Handle: RePEc:wly:jfutmk:v:21:y:2001:i:9:p:851-860
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Maxime Charlebois & Stephen Sapp, 2007. "Temporal Patterns in Foreign Exchange Returns and Options," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2‐3), pages 443-470, March.
    2. Ying-Sing Liu, 2021. "The Impact of Trading Information Sets on Exchange Rate Change and Volatility: Evidence From Taiwan," SAGE Open, , vol. 11(4), pages 21582440211, November.
    3. Igor Kliakhandler, 2007. "Execution edge of pit traders and intraday price ranges of soft commodities," Applied Financial Economics, Taylor & Francis Journals, vol. 17(5), pages 343-350.
    4. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    5. Moustafa Abuelfadl, 2017. "Individual Foreign Exchange Investors, Return Predictability And Market Timing," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(01), pages 1-28, March.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:jfutmk:v:21:y:2001:i:9:p:851-860. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.interscience.wiley.com/jpages/0270-7314/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.