News announcements, market activity and volatility in the Euro/Dollar foreign exchange market

Luc Bauwens, Walid Ben Omrane and Pierre Giot

No 2003029, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: This paper deals with the impact of nine categories of scheduled and unscheduled news announcements on the Euro/Dollar return volatility. We highlight and analyze the pre-announcement, contemporaneous and postannouncement reactions. Using high-frequency intraday data and within the framework of ARCH-type and realized volatility models, we show that volatility increases in the pre-announcement periods, particularly before scheduled events. Market activity also significantly impacts return volatility as expected by the theoretical literature on order flow.

Keywords: foreign exchange market; volatility; news announcements; high frequency data (search for similar items in EconPapers)
JEL-codes: C13 C22 F31 G14 (search for similar items in EconPapers)
Date: 2003-03
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Citations: View citations in EconPapers (6)

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Related works:
Journal Article: News announcements, market activity and volatility in the euro/dollar foreign exchange market (2005)
Working Paper: News announcements, market activity and volatility in the euro/dollar foreign exchange market (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:2003029

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