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News announcements, market activity and volatility in the euro/dollar foreign exchange market

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  • BAUWENS, Luc
  • BEN OMRANE, Walid
  • GIOT, Pierre

Abstract

This paper deals with the impact of nine categories of scheduled and unscheduled news announcements on the Euro/Dollar return volatility. We highlight and analyze the pre-announcement, contemporaneous and postannouncement reactions. Using high-frequency intraday data and within the framework of ARCH-type and realized volatility models, we show that volatility increases in the pre-announcement periods, particularly before scheduled events. Market activity also significantly impacts return volatility as expected by the theoretical literature on order flow.
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • BAUWENS, Luc & BEN OMRANE, Walid & GIOT, Pierre, 2005. "News announcements, market activity and volatility in the euro/dollar foreign exchange market," LIDAM Reprints CORE 1787, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvrp:1787
    DOI: 10.1016/j.jimonfin.2005.08.008
    Note: In : Journal of International Money and Finance, 24, 1108-1125, 2005
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    More about this item

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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