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Foreign exchange futures volatility: Day‐of‐the‐week, intraday, and maturity patterns in the presence of macroeconomic announcements

Li‐Ming Han, John L. Kling and Clifford W. Sell

Journal of Futures Markets, 1999, vol. 19, issue 6, 665-693

Abstract: Using standard deviations and numbers of price changes calculated from tick data for currency futures, this study finds strong day‐of‐the‐week effects for both the Deutsche mark and Japanese yen, mild effects for the British pound, and no effects for the Canadian dollar after controlling for scheduled macroeconomic announcements and days to contract expiration. The day‐of‐the‐week effects are found to be caused either by Mondays’ low volatility, or by Thursdays’ or Fridays’ high volatility. This result suggests that the day‐of‐the‐week effects in the currency futures are not driven by the announcements of macroeconomic indicators as proposed in previous studies, but rather by other factors, such as private information‐based trading or by market microstructure. This study also finds that the announcements are processed equally across the days of the week for all four currency futures. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 665–693, 1999

Date: 1999
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