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Foreign‐Exchange Trading Volume and Federal Reserve Intervention

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  • 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

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  • 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
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    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. 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.
    5. 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.

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