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

Bauwens, Luc;Ben Omrane, Walid;Giot, Pierre
(2003)

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  • Bauwens, Lucorcid-logoUCLouvain
    Author
  • Ben Omrane, WalidUCLouvain
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  • Giot, PierreUCLouvain
    Author
Abstract
This paper deals with 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 postannouncement reactions. Using high-frequency intraday data and within the framework of ARCH-type and realized volatility 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 order flow.
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Bauwens, L., Ben Omrane, W., & Giot, P. (2003). News announcements, market activity and volatility in the Euro/Dollar foreign exchange market (ECON Discussion Papers 2003/26). https://hdl.handle.net/2078.5/129027