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The impact of macroeconomic news on exchange rate volatility
Laakkonen, Helinä - Suomen Pankki - 2004
and European macroeconomic news on the volatility of USD/EUR 5-minute returns was tested by using the Flexible Fourier … Form method. The results were consistent with earlier studies. Macroeconomic news increased volatility significantly, and … volatility was re-confirmed in this study. The announcements were also divided into two categories, the first containing the news …
Persistent link: https://www.econbiz.de/10005648850
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Discretized Time and Conditional Duration Modelling for Stock Transaction Data
Brännäs, Kurt; Simonsen, Ola - Institutionen för Nationalekonomi, Umeå Universitet - 2003
of news effects. No evidence of asymmetric responses to news about prices and spreads is found. …
Persistent link: https://www.econbiz.de/10005651936
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STOCK DATA, TRADE DURATIONS, AND LIMIT ORDER BOOK INFORMATION
Simonsen, Ola - Institutionen för Nationalekonomi, Umeå Universitet - 2006
interpretation in terms of news effects. No evidence of asymmetric responses to news about prices and spreads is found. <p> Paper [2 … indicate that the value of order book information is short-term. <p> Paper [4] This paper studies the impact of news … announcements on trade durations in stocks on the Stockholm Stock Exchange. The news are categorized into four groups and the impact …
Persistent link: https://www.econbiz.de/10005651956
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Statistical Properties of Forward Libor Rates
Alexander, Carol; Lvov, Dimitri - Henley Business School, University of Reading - 2003
historical forward rates are used to calibrate the lognormal forward rate model - as advocated by Hull and White (1999, 2000), Longstaff, Santa Clara and Schwartz (1999), Rebonato (1999a,b,c), Rebonato and Joshi (2001) and many others - a Libor yield curve needs to be fit to the available data...
Persistent link: https://www.econbiz.de/10005558300
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Macroeconomic News Effects on the Stock Markets in Intraday Data
Będowska-Sójka, Barbara - In: Central European Journal of Economic Modelling and … 5 (2013) 4, pp. 249-269
macroeconomic fundamentals emanating from Germany and the U.S. We examine the reaction of intraday returns and volatility of the CAC … immediate response in returns and volatility of the German and the French stock market sampled at a five-minute frequency. The …
Persistent link: https://www.econbiz.de/10010875631
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Stock Market Efficiency before and after a Financial Liberalisation Reform
Karoglou, Michail - In: Journal of Emerging Market Finance 8 (2009) 3, pp. 315-340
This article focuses on the deviations from normality of stock returns before and after a financial liberalisation reform, and shows the extent to which inference based on statistical measures of stock market efficiency can be affected by not controlling for breaks. Drawing from recent advances...
Persistent link: https://www.econbiz.de/10010772785
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Volatility and liquidity in the Italian money market
Palombini, Edgardo - Volkswirtschaftliche Fakultät, … - 2003
This paper constructs unbiased and model-free measures of daily and hourly volatility of the overnight interest rate … increases in volatility and the most notable variations of its intraday pattern occur at the end of the reserve maintenance … period and at the end of each quarter. The average effect on market volatility of Eurosystem money market operations and …
Persistent link: https://www.econbiz.de/10011114089
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Testing for weak form market efficiency in Indian foreign exchange market
Sasikumar, Anoop - Volkswirtschaftliche Fakultät, … - 2011
This paper attempts to examine the weak form of market efficiency in the Indian foreign exchange market using a family of variance ratio tests. Monthly Nominal Effective Exchange Rate (NEER) data from April 1993-June 2010 were used for the analysis. NEER series was considered for the analysis as...
Persistent link: https://www.econbiz.de/10009652037
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News Trading and Speed
Foucault, Thierry; Hombert, Johan; Rosu, Ioanid - HEC Paris (École des Hautes Études Commerciales) - 2013
volatility when the investor has fast access to news. …Speed matters: we show that an investor's optimal trading strategy is significantly different when he observes news … to news, his trades are much more sensitive to news, account for a much bigger fraction of trading volume, and forecast …
Persistent link: https://www.econbiz.de/10010832933
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Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks
Boudt, Kris; Petitjean, Mikael - In: Journal of Financial Markets 17 (2014) C, pp. 121-149
We study the dynamics of liquidity and news releases around jumps by identifying their intraday timing for the Dow … demand for immediacy, amplified by the release of news. Liquidity supply remains nevertheless high and there is strong …, especially after the arrival of news. …
Persistent link: https://www.econbiz.de/10010737887