Further Evidence on Foreign Exchange Jumps and News Announcements

被引：11
作者：
Frommel, Michael [1 ]
Han, Xing [1 ]
Van Gysegem, Frederick [1 ]
机构：
[1] Univ Ghent, Dept Financial Econ, Sint Pietersplein 5, B-9000 Ghent, Belgium
来源：
EMERGING MARKETS FINANCE AND TRADE | 2015年 / 51卷 / 04期
关键词：
foreign exchange; Hungary; jumps; microstructure; news; MACROECONOMIC ANNOUNCEMENTS; FINANCIAL-MARKETS; ASSET PRICES; ORDER FLOW; VOLATILITY; COMPONENTS; DYNAMICS; MODELS; IMPACT; NOISE;
D O I：
10.1080/1540496X.2015.1046348
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We apply the bipower variation technique to characterize the jump dynamics in the HUF/EUR market and examine the link between jumps and news announcements of various sources. Our findings confirm that jumps are prevalent, large, and account for approximately one-half of the total volatility during jump days. More important, we find that nearly half of the significant jumps are explained by scheduled and unscheduled news releases, confirming the dynamic announcement effect in the foreign exchange (FX) market. Finally, the postjump reversal patterns suggest that the realized jumps are mostly information based, whether they are obviously linked with news or not.
引用
收藏
页码：774 / 787
页数：14
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