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Further evidence on foreign exchange jumps and news announcements

Michael Frömmel (UGent) , Xing Han (UGent) and Frederick Van Gysegem (UGent)
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Abstract
We apply the bipower variation technique to characterize the jump dynamics in the HUF/EUR market. We then examine the link between jumps and news announcements of various sorts. Our findings confirm that jumps are prevalent, large and account for approximately one-half of the total volatility during the jump days. More importantly, we find that nearly half of the significant jumps are explained by scheduled and unscheduled news releases, confirming the dynamic announcement effect in the FX market. Finally, the post-jump reversal patterns suggest that the realized jumps are mostly information based, whether they are obviously linked with news or not.
Keywords
foreign exchange, microstructure, jumps, news, Hungary, TESTABLE DISTRIBUTIONAL IMPLICATIONS, MACROECONOMIC ANNOUNCEMENTS, FINANCIAL-MARKETS, STOCK RETURNS, ASSET PRICES, ORDER FLOW, VOLATILITY, COMPONENTS, DYNAMICS, MODELS

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Citation

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Chicago
Frömmel, Michael, Xing Han, and Frederick Van Gysegem. 2015. “Further Evidence on Foreign Exchange Jumps and News Announcements.” Emerging Markets Finance and Trade 54 (4): 774–787.
APA
Frömmel, M., Han, X., & Van Gysegem, F. (2015). Further evidence on foreign exchange jumps and news announcements. EMERGING MARKETS FINANCE AND TRADE, 54(4), 774–787.
Vancouver
1.
Frömmel M, Han X, Van Gysegem F. Further evidence on foreign exchange jumps and news announcements. EMERGING MARKETS FINANCE AND TRADE. 2015;54(4):774–87.
MLA
Frömmel, Michael, Xing Han, and Frederick Van Gysegem. “Further Evidence on Foreign Exchange Jumps and News Announcements.” EMERGING MARKETS FINANCE AND TRADE 54.4 (2015): 774–787. Print.
@article{5757545,
  abstract     = {We apply the bipower variation technique to characterize the jump dynamics in the HUF/EUR market. We then examine the link between jumps and news announcements of various sorts. Our findings confirm that jumps are prevalent, large and account for approximately one-half of the total volatility during the jump days. More importantly, we find that nearly half of the significant jumps are explained by scheduled and unscheduled news releases, confirming the dynamic announcement effect in the FX market. Finally, the post-jump reversal patterns suggest that the realized jumps are mostly information based, whether they are obviously linked with news or not.},
  author       = {Frömmel, Michael and Han, Xing and Van Gysegem, Frederick},
  issn         = {1540-496X},
  journal      = {EMERGING MARKETS FINANCE AND TRADE},
  keywords     = {foreign exchange,microstructure,jumps,news,Hungary,TESTABLE DISTRIBUTIONAL IMPLICATIONS,MACROECONOMIC ANNOUNCEMENTS,FINANCIAL-MARKETS,STOCK RETURNS,ASSET PRICES,ORDER FLOW,VOLATILITY,COMPONENTS,DYNAMICS,MODELS},
  language     = {eng},
  number       = {4},
  pages        = {774--787},
  title        = {Further evidence on foreign exchange jumps and news announcements},
  url          = {http://dx.doi.org/10.1080/1540496X.2015.1046348},
  volume       = {54},
  year         = {2015},
}

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