News Announcements, Market Activity and Volatility in the Euro/Dollar Foreign Exchange Market

CORE Discussion Paper

27 Pages Posted: 7 May 2003

See all articles by Walid Ben Omrane

Walid Ben Omrane

Brock University - Department of Finance, Operations and Information Systems (FOIS)

Luc Bauwens

Université catholique de Louvain

Pierre Giot

Facultés Universitaires Notre-Dame de la Paix (FUNDP)

Multiple version iconThere are 2 versions of this paper

Date Written: March 2003

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 post-announcement 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.

Keywords: foreign exchange market, volatility, news announcements, high frequency data

JEL Classification: C13, C22, F31, G14

Suggested Citation

Ben Omrane, Walid and Bauwens, Luc and Giot, Pierre, News Announcements, Market Activity and Volatility in the Euro/Dollar Foreign Exchange Market (March 2003). CORE Discussion Paper, Available at SSRN: https://ssrn.com/abstract=389405

Walid Ben Omrane

Brock University - Department of Finance, Operations and Information Systems (FOIS) ( email )

Ontario, L2S 3A1
Canada

Luc Bauwens

Université catholique de Louvain ( email )

CORE
34 Voie du Roman Pays
B-1348 Louvain-la-Neuve, b-1348
Belgium
32 10 474321 (Phone)
32 10 474301 (Fax)

Pierre Giot (Contact Author)

Facultés Universitaires Notre-Dame de la Paix (FUNDP) ( email )

Rempart de la Vierge 8
B-5000 Namur
Belgium

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