Trading activity and macroeconomic announcements in high-frequency exchange rate data

被引：16

作者：

Chaboud, Alain P. ^{[1
]}

Chernenko, Sergey V. ^{[2
]}

Wright, Jonathan H. ^{[1
]}

机构：

[1] Fed Reserve Board, Washington, DC USA

[2] Harvard Univ, Cambridge, MA 02138 USA

来源：

JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION | 2008年 / 6卷 / 2-3期

关键词：

D O I：

10.1162/JEEA.2008.6.2-3.589

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This article introduces a new high-frequency data set that includes global trading volume and prices over five years in the spot euro-dollar and dollar-yen currency pairs. Studying the effects of US macroeconomic data releases, we show that spikes in trading volume tend to occur even when announcements are in line with market expectations, in sharp contrast to the price response. There is some evidence that the volume after announcements is negatively related to the ex ante dispersion of market expectations, contrary to the standard theoretical prediction. At very high frequency, we find evidence that much of the immediate jump in prices in reaction to an announcement. occurs before the surge in volume.

引用

页码：589 / 596

页数：8

共 5 条

[1] Micro effects of macro announcements: Real-time price discovery in foreign exchange [J].