Public news announcements and quoting activity in the Euro/Dollar foreign exchange market

Walid Ben Omrane and Andréas Heinen

Computational Statistics & Data Analysis, 2010, vol. 54, issue 11, 2419-2431

Abstract: The effect of public news announcements on dealers' quoting activity is analyzed with the multivariate double autoregressive conditional Poisson model. Quoting activity is measured by the frequency of price revisions in the Euro/Dollar foreign exchange market. The multivariate double autoregressive conditional Poisson model is designed for time series of count data. It is based on the double Poisson distribution, which can be both over- and underdispersed. The main findings are first a significant interaction between dealers' quoting activity, which confirms hot potato trading. Second, news announcements have a different impact on the quoting activity of different banks. Third, impulse-response functions to news announcements show the dynamic nature of the reaction to these news releases.

Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-9473(09)00429-0
Full text for ScienceDirect subscribers only.

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:eee:csdana:v:54:y:2010:i:11:p:2419-2431

Access Statistics for this article

Computational Statistics & Data Analysis is currently edited by S.P. Azen

More articles in Computational Statistics & Data Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().