Announcement effects and seasonality in the intra-day foreign exchange market

Payne, Richard (1996) Announcement effects and seasonality in the intra-day foreign exchange market. Financial Markets Group Discussion Papers (238). Financial Markets Group, The London School of Economics and Political Science, London, UK.

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Abstract

This paper examines two aspects of spot FX volatility. Using intra-daily quotation data on the Deutsche Mark/Dollar we simultaneously estimate the deterministic intra-daily seasonal pattern inherent in volatility and the effects of US macroeconomic announcements. The empirical specification and estimation technique is based on the Stochastic Volatility methodology contained in Harvey, Ruiz and Shephard (1994). Results conform with previous work, in that 'news' effects are strong and persistent, being felt for over one hour after the initial release time. Inclusion of an explicit seasonal is shown to be essential for the accurate estimation of other volatility components. Further estimations allow us to examine which particular pieces of US data move the markets. These result show that the most important statistics are those associated with the Employment and Mercantile Trade reports.

Item Type:	Monograph (Discussion Paper)
Official URL:	https://www.fmg.ac.uk/
Additional Information:	© 1996 The Author
Divisions:	Finance
Subjects:	H Social Sciences > HC Economic History and Conditions H Social Sciences > HG Finance
JEL classification:	G - Financial Economics > G1 - General Financial Markets > G10 - General G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
Date Deposited:	05 Jun 2023 23:04
Last Modified:	14 Sep 2024 04:35
URI:	http://eprints.lse.ac.uk/id/eprint/119169

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