I identify intraday jumps and cojumps in exchange rates controlling for volatility patterns and relate these events to pre-scheduled macroeconomic news and market conditions. Event study results show that preceding jump and cojump events, exchange rate quote volume, illiquidity, signed order...

This study examines international dual stocks' exposure to two types of exchange rate effects/risks. One is an arbitrage effect and a deviation from the Law of One Price (LOOP). This is a simultaneous effect, is influenced by factors relating to the structure of the market and results in a stock...