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

Richard Payne

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

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.

JEL-codes: G10 G15 (search for similar items in EconPapers)
Pages: 38 pages
Date: 1996-03-01
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://eprints.lse.ac.uk/119169/ Open access version. (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:119169

Access Statistics for this paper

More papers in LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library LSE Library Portugal Street London, WC2A 2HD, U.K.. Contact information at EDIRC.
Bibliographic data for series maintained by LSERO Manager ().