News announcements, market activity and volatility in the Euro-Dollar foreign exchange market

Bauwens, Luc;Giot, Pierre;Ben Omrane, Walid
(2005) Journal of International Money and Finance : theoretical and empirical research in international economics and finance — Vol. 24 Iss. 7, p. 1108-1125 (2005)

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Authors
  • Bauwens, Lucorcid-logoUCLouvain
    Author
  • Giot, PierreUnamur
    Author
  • Ben Omrane, Walid
    Author
Abstract
We study the impact of nine categories of scheduled and unscheduled news announcements on the euro/dollar return volatility. We highlight and analyze the pre-announcement, contemporaneous and post-announcement reactions. Using high-frequency intraday data and within the framework of ARCH-type models, we show that volatility increases in the pre-announcement periods, particularly before scheduled events. Market activity also significantly impacts return volatility as expected by the theoretical literature on the order flow.
Affiliations
  • Louvain School of ManagementAccounting & Finance

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Bauwens, L., Giot, P., & Ben Omrane, W. (2005). News announcements, market activity and volatility in the Euro-Dollar foreign exchange market. Journal of International Money and Finance : theoretical and empirical research in international economics and finance, 24 Iss. 7, 1108-1125. https://doi.org/10.1016/j.jimonfin.2005.08.008 (Original work published 2005)