Public Information Releases, Private Information Arrival, and Volatility in the Foreign Exchange Market

Public Information Releases, Private Information Arrival, and Volatility in the Foreign Exchange Market PDF Author: Ramon P. DeGennaro
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Book Description
This paper estimates the impact of market activity and news on the volatility of returns in the exchange market for Japanese Yen and US dollars. We examine the effects of news on volatility before, during and after news arrival, using three categories of news. Market activity is proxied by quote arrival, separated into a predictable seasonal component and an unexpected component. Results indicate that both components of market activity, as well as news releases, affect volatility levels. We conclude that both private information and news effects are important determinants of exchange rate volatility. Our finding that unexpected quote arrival positively impacts foreign exchange rate volatility is consistent with the interpretation that unexpected quote arrival serves as a measure of informed trading. Corroborating this interpretation is regression analysis, which indicates that spreads increase in the surprise component of the quote arrival rate, but not in the expected component. The estimated impact of a unit increase in unexpected quote arrival and the range of values observed for this variable imply an important volatility conditioning role for informed trading.

Public Information Releases, Private Information Arrival, and Volatility in the Foreign Exchange Market

Public Information Releases, Private Information Arrival, and Volatility in the Foreign Exchange Market PDF Author: Ramon P. DeGennaro
Publisher:
ISBN:
Category :
Languages : en
Pages :

Get Book Here

Book Description
This paper estimates the impact of market activity and news on the volatility of returns in the exchange market for Japanese Yen and US dollars. We examine the effects of news on volatility before, during and after news arrival, using three categories of news. Market activity is proxied by quote arrival, separated into a predictable seasonal component and an unexpected component. Results indicate that both components of market activity, as well as news releases, affect volatility levels. We conclude that both private information and news effects are important determinants of exchange rate volatility. Our finding that unexpected quote arrival positively impacts foreign exchange rate volatility is consistent with the interpretation that unexpected quote arrival serves as a measure of informed trading. Corroborating this interpretation is regression analysis, which indicates that spreads increase in the surprise component of the quote arrival rate, but not in the expected component. The estimated impact of a unit increase in unexpected quote arrival and the range of values observed for this variable imply an important volatility conditioning role for informed trading.

Public Information Arrival, Exchange Rate Volatility, and Quote Frequency

Public Information Arrival, Exchange Rate Volatility, and Quote Frequency PDF Author: Michael Melvin
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Book Description
The mixture of distributions model motivates the role of public information arrival in foreign exchange market dynamics. Public information arrival is measured using Reuters Money-Market Headline News. The exchange rates are high-frequency mark/dollar and yen/dollar quotes. Estimation results suggest that higher than normal public information brings more than the normal quoting activity and volatility. The results have implications for the debate over regulation of the foreign exchange market. Foreign exchange activity is not largely self-generating. Trading is likely providing the function it is meant to provide-adjusting prices and quantities to achieve an efficient allocation of resources.

Information, Volatility and the Cost of Capital

Information, Volatility and the Cost of Capital PDF Author: Tanguy de Launois
Publisher: Presses univ. de Louvain
ISBN: 2874631744
Category : Business & Economics
Languages : en
Pages : 275

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Book Description
We all have in mind a couple of dramatic examples of how information released by some economical or political entity resulted in tremendous consequences for a private company or, worst, for the whole financial market. This is the purpose of this dissertation to investigate the relations between information,stock volatility and the cost of capital. After the extension of the standard CAPM model to a more realistic world where some investors are “constrained” and deviate from their optimal CAPM quantities, we confront our theoretical model to the empirical reality by investigating the so-called “index effect”. Thanks to econometric specifications robust to endogeneity, we test different hypotheses proposed by the literature to explain this well known value premium of firms belonging to large indices. In a next step, we investigate how the quality and quantity of micro and macro public signals impact the main determinants of our pricing equation initially developed. We show that in a world of constrained investors, firms benefiting from a high deviation have less incentive to communicate than others. Finally, we study the link between public information and conditional volatility thanks to an original sample of several tens of thousands of Reuters and Dow Jones news releases on both the French and US markets. Thanks to various econometric specifications like GARCH models and Markov Switching Regressions, we conclude that a larger daily number of news releases increases the probability to be in the high probability regime and that the impact ofinformation is strongly dependent on the topic and the timing of the release of this information.

Studies in Foreign Exchange Economics

Studies in Foreign Exchange Economics PDF Author: Martin D D Evans
Publisher: World Scientific Publishing Company
ISBN: 9813148543
Category : Business & Economics
Languages : en
Pages : 791

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Book Description
This book collects my scholarly research on the behavior of foreign exchange rates conducted over the past twenty-five years. The collection includes papers that study the behavior of exchange rates from the traditional macroeconomic and newer microstructure perspectives. The former perspective considers the linkages between the macro economy and currency prices in an effort to understand the behavior of exchange rates over quarters, years and decades. By contrast, the microstructure perspective considers how the details of currency trading affect how macroeconomic information becomes embedded in currency prices, a process which drives exchange-rates over intraday horizons. The book also contains papers with a hybrid perspective that consider the details of currency trading and macroeconomic linkages in an effort to understand exchange-rate dynamics across all horizons.

Studies on Financial Markets in East Asia

Studies on Financial Markets in East Asia PDF Author: Masayuki Susai
Publisher: World Scientific
ISBN: 9814343366
Category : Business & Economics
Languages : en
Pages : 189

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Book Description
This book will be an important addition to the limited number of books that discuss finance and accounting issues in East Asian countries. While presenting recent empirical studies on finance and accounting in East Asian economies, it also reveals the underlying reasons for remarkable economic growth and emerging performance of the financial markets in the East Asian countries. It introduces newly developed financial products, institutions, governance mechanism, banking policy changes and their implications in the East Asian economies, and discusses the way forward for these economies with recommendations for policy implications. It also contains suggestions for other developing countries trying to achieve rapid growth.

The Handbook of News Analytics in Finance

The Handbook of News Analytics in Finance PDF Author: Gautam Mitra
Publisher: John Wiley & Sons
ISBN: 1119990807
Category : Business & Economics
Languages : en
Pages : 384

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Book Description
The Handbook of News Analytics in Finance is a landmarkpublication bringing together the latest models and applications ofNews Analytics for asset pricing, portfolio construction, tradingand risk control. The content of the Hand Book is organised to provide arapid yet comprehensive understanding of this topic. Chapter 1 setsout an overview of News Analytics (NA) with an explanation of thetechnology and applications. The rest of the chapters are presentedin four parts. Part 1 contains an explanation of methods and modelswhich are used to measure and quantify news sentiment. In Part 2the relationship between news events and discovery of abnormalreturns (the elusive alpha) is discussed in detail by the leadingresearchers and industry experts. The material in this part alsocovers potential application of NA to trading and fund management.Part 3 covers the use of quantified news for the purpose ofmonitoring, early diagnostics and risk control. Part 4 is entirelyindustry focused; it contains insights of experts from leadingtechnology (content) vendors. It also contains a discussion oftechnologies and finally a compact directory of content vendor andfinancial analytics companies in the marketplace of NA. Thebook draws equally upon the expertise of academics andpractitioners who have developed these models and is supported bytwo major content vendors - RavenPack and Thomson Reuters - leadingproviders of news analytics software and machine readablenews. The book will appeal to decision makers in the banking, finance andinsurance services industry. In particular: asset managers;quantitative fund managers; hedge fund managers; algorithmictraders; proprietary (program) trading desks; sell-side firms;brokerage houses; risk managers and research departments willbenefit from the unique insights into this new and pertinent areaof financial modelling.

The Economics of Exchange Rates

The Economics of Exchange Rates PDF Author: Lucio Sarno
Publisher: Cambridge University Press
ISBN: 1139435043
Category : Business & Economics
Languages : en
Pages : 334

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Book Description
In the last few decades exchange rate economics has seen a number of developments, with substantial contributions to both the theory and empirics of exchange rate determination. Important developments in econometrics and the increasingly large availability of high-quality data have also been responsible for stimulating the large amount of empirical work on exchange rates in this period. Nonetheless, while our understanding of exchange rates has significantly improved, a number of challenges and open questions remain in the exchange rate debate, enhanced by events including the launch of the Euro and the large number of recent currency crises. This volume provides a selective coverage of the literature on exchange rates, focusing on developments from within the last fifteen years. Clear explanations of theories are offered, alongside an appraisal of the literature and suggestions for further research and analysis.

High Frequency Financial Econometrics

High Frequency Financial Econometrics PDF Author: Luc Bauwens
Publisher: Springer Science & Business Media
ISBN: 3790819921
Category : Business & Economics
Languages : en
Pages : 310

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Book Description
Shedding light on some of the most pressing open questions in the analysis of high frequency data, this volume presents cutting-edge developments in high frequency financial econometrics. Coverage spans a diverse range of topics, including market microstructure, tick-by-tick data, bond and foreign exchange markets, and large dimensional volatility modeling. The volume is of interest to graduate students, researchers, and industry professionals.

Handbook of Research Methods and Applications in Empirical Finance

Handbook of Research Methods and Applications in Empirical Finance PDF Author: Adrian R. Bell
Publisher: Edward Elgar Publishing
ISBN: 0857936093
Category : Business & Economics
Languages : en
Pages : 494

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Book Description
This impressive Handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples. Written by international experts in their field, the unique approach describes a question or issue in finance and then demonstrates the methodologies that may be used to solve it. All of the techniques described are used to address real problems rather than being presented for their own sake, and the areas of application have been carefully selected so that a broad range of methodological approaches can be covered. The Handbook is aimed primarily at doctoral researchers and academics who are engaged in conducting original empirical research in finance. In addition, the book will be useful to researchers in the financial markets and also advanced Masters-level students who are writing dissertations.

Portfolios and Investments

Portfolios and Investments PDF Author: Michael Frömmel
Publisher: BoD – Books on Demand
ISBN: 3732253791
Category : Political Science
Languages : en
Pages : 536

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Book Description
The book is concerned with the theory of portfolios, as well as with investing in assets and securities and offers a general introduction, rather than a toolbox for making money. It will help its readers to better understand investing. The book is structured in two parts. Part I introduces the student into fundamental principles of portfolio theory and investment analysis, such as the Markowitz portfolio selection approach, factor models, basic evaluation techniques and portfolio management. Part II extends the material to more advanced topics and focuses on inefficient markets, including topics including technical analysis and momentum effects, behavioural finance, bubbles and herding, portfolio management in inefficient markets and market microstructure. followed by an appendix consisting of primers to some econometric approaches.