The High-Frequency Effects of U.S. Macroeconomic Data Releases on Prices and Trading Activity in the Global Interdealer Foreign Exchange Market

42 Pages Posted: 1 Dec 2004

See all articles by Alain Chaboud

Alain Chaboud

Board of Governors of the Federal Reserve System

Sergey Chernenko

Purdue University - Department of Management

Edward Howorka

EBS Group Limited

Raj S.K. Iyer

EBS Group Limited

David Liu

EBS

Jonathan H. Wright

Johns Hopkins University - Department of Economics

Date Written: November 2004

Abstract

We introduce a new high-frequency foreign exchange dataset from EBS (Electronic Broking Service) that includes trading volume in the global interdealer spot market, data not previously available to researchers. The data also gives live transactable quotes, rather than the indicative quotes that have been used in most previous high frequency foreign exchange analysis. We describe intraday volume and volatility patterns in euro-dollar and dollar-yen trading. We study the effects of scheduled U.S.macroeconomic data releases, first confirming the finding of recent literature that the conditional mean of the exchange rate responds very quickly to the unexpected component of data releases. We next study the effects of data releases on trading volumes. News releases cause volume to rise, and to remain elevated for a longer period. However, in contrast to the result for the level of the exchange rate, even if the data release is entirely in line with expectations, we find that there is still typically a large pickup in trading volume.

Keywords: Foreign exchange, trading volume, news announcements, high-frequency data, conditional mean, conditional volatility

JEL Classification: F31, G14

Suggested Citation

Chaboud, Alain and Chernenko, Sergey and Howorka, Edward and Iyer, Raj S.K. and Liu, David and Wright, Jonathan H., The High-Frequency Effects of U.S. Macroeconomic Data Releases on Prices and Trading Activity in the Global Interdealer Foreign Exchange Market (November 2004). Available at SSRN: https://ssrn.com/abstract=625181 or http://dx.doi.org/10.2139/ssrn.625181

Alain Chaboud (Contact Author)

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States
(202) 452 3756 (Phone)

Sergey Chernenko

Purdue University - Department of Management ( email )

West Lafayette, IN 47907-1310
United States
(765) 494-4413 (Phone)

HOME PAGE: http://https://sites.google.com/site/chernenkosergey/

Edward Howorka

EBS Group Limited ( email )

10 Paternoster Square
London EC4M 7DY
United Kingdom

Raj S.K. Iyer

EBS Group Limited ( email )

10 Paternoster Square
London EC4M 7DY
United Kingdom

David Liu

EBS ( email )

10 Paternoster Square
London EC4M 7DY
United Kingdom

Jonathan H. Wright

Johns Hopkins University - Department of Economics ( email )

3400 Charles Street
Baltimore, MD 21218-2685
United States

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