Foreign exchange futures volatility: day-of-the-week, intraday, and maturity patterns in the presence of macroeconomic announcements
Article Abstract:
Announcements pertaining to private information-based trading and microstructures of the markets have been found to drive currency futures. Standard deviation results derived from tick data for currency futures revealed that market microstructures and various trading processes are primary determinants of futures markets. These results negate the work made by Harvey and Huang (1991), which maintains that announcements of macroeconomic indicators generate a substantial impact on currency futures. By observing the day-of-the-week effects of price changes on Deutsche mark and Japanese yen currencies it was also proven that Mondays are typically marked by low volatility, while Thursdays and Fridays tend to exhibit high market volatility. Empirical evidences further suggest that information is processed uniformly throughout the entire week period.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1999
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Announcement versus nonannouncement: a study of intraday transaction price paths of deutsche mark and Japanese yen futures
Article Abstract:
A study of the two most actively traded currency futures, the deutsche mark and the Japanese yen, was conducted to determine how the market reacts to anticipated US macroeconomic announcements during US trading hours. The 7:30-7:35 interval, immediately after the announcements, has the largest average absolute value of price changes, number of prices (NP) and price fluctuation range. It is also the only trading interval with positive average first-order auto-correlation of log price changes. For the announcement sample, the higher NP also yields higher liquidity trading, while for the nonannouncement sample, intraday information trading and transaction costs follow the same trends.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1996
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The rolling spot futures contract: an error correction model analysis
Article Abstract:
The stochastic dynamic relationship between rolling spot futures exchange rate and the spot exchange rate for the Deutsche mark (DM) and the British pound (BP) is examined using the theory of cointegration. Each daily series is integrated of order one whereas the spot exchange rate is cointegrated with the rolling futures exchange rate. This cointegration is suggested by the presence of an error correction model that involves short- and long-run relationships.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1997
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