Chaboud, Alain P.; Chernenko, Sergey V.; Wright, Jonathan H. - In: Journal of the European Economic Association 6 (2008) 2-3, pp. 589-596
This article introduces a new high-frequency data set that includes global trading volume and prices over five years in the spot euro-dollar and dollar-yen currency pairs. Studying the effects of US macroeconomic data releases, we show that spikes in trading volume tend to occur even when...