Does FOMC news increase global FX trading?

Andreas Fischer () and Angelo Ranaldo

Journal of Banking & Finance, 2011, vol. 35, issue 11, 2965-2973

Abstract: Does global currency volume increase on Federal Open Market Committee (FOMC) days? To test hypotheses of abnormal currency volume on FOMC days, a new data set from the Continuous Linked Settlement (CLS) Bank is used. The CLS measure captures more than half of the global trading volume in foreign exchange (FX) markets. The evidence shows that FX trading volume increases about 5% in the spot and the spot-next market following FOMC deliberations. The novelty of this result is that the aggregated CLS data controls for responses in various derivatives markets: a feature that existing studies based on intradaily data for specific trading platforms do not consider.

Keywords: FX; trading; activity; FOMC; communication; Global; linkages; FX; liquidity (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (15)

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Working Paper: Does FOMC News Increase Global FX Trading? (2008)
Working Paper: Does FOMC News Increase Global FX Trading? (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:35:y:2011:i:11:p:2965-2973

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