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| Author: | DeGennaro, R. Shrieves, R. |
| Title: | Public information releases, private information arrival and volatility in the foreign exchange market |
| Journal: | Journal of Empirical Finance
1997 : DEC, VOL. 4:4, p. 295-316 |
| Index terms: | INFORMATION PRIVACY FOREIGN EXCHANGE MARKET |
| Language: | eng |
| Abstract: | This paper estimates the impact of market activity and news on the volatility of returns in the Japanese market for Japanese Yen and US dollars. The authors 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. |
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