Risk-Return Relationships in Foreign-Currency Futures Following Macroeconomic Announcements

Journal of Futures Markets

Volumn 22, Issue 8, 2002, Pages 729-764

  Han, Li Ming ^a   Ozocak, Onem ^a  

^a WASHINGTON STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0036084489     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/fut.10030     Document Type: Article

References (31)

1. Admati, A., & Pfleiderer, P. (1988). A theory of intraday patterns: Volume and price variability. The Review of Financial Studies, 1, 3-40.
2. Almeida, A., Goodhart, C., & Payne R. (1998). The effects of macroeconomic news on high frequency exchange rate behaviour. Journal of Financial and Quantitative Analysis, 33, 383-408.
3. Andersen, T., & Bollerslev, T. (1997). Intraday periodicity and volatility persistence in financial markets. Journal of Empirical Finance, 4, 115-158.
4. Andersen, T., & Bollerslev, T. (1998). Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies. Journal of Finance, 53, 219-266.
5. Andersen, T., Bollerslev, T., Diebold, F. X., & Labys, P. (1999). The distribution of exchange rate volatility. Working paper, New York University, Salomon Center.
6. Balduzzi, P., Elton, E., & Green, T. (1999). Economic news and the yield curve. Working paper, New York University.
7. Brock W., & Kleidon, A. (1992). Periodic market closure and trading volume: A model of intraday bid and asks. Journal of Economic Dynamics and Control, 16, 451-490.
8. Christie-David, R., & Chaudhry, M. (1999). Liquidity and maturity effects around news releases. The Journal of Financial Research, 22, 47-67.
9. Clark, P. (1973). A subordinated stochastic process model with finite variance for speculative prices. Econometrica, 41, 135-155.
10. Covrig, V., & Melvin, M. (1997). Asymmetric information and price discovery in the FX market: Does Tokyo know more about the Yen. Working paper, Arizona State University.
11. Ederington, L., & Lee, J. (1993). How markets process information: News releases and volatility. Journal of Finance, 48, 1161-1191.
12. Ederington, L., & Lee, J. (1995). The short-run dynamics of the price adjustment to new information. Journal of Financial and Quantitative Analysis, 30, 117-134.
13. Fama, E. (1984). Forward and spot exchange rates. Journal of Monetary Economics, 13, 327-348.
14. Fleming, M., & Remolona, E. (1997, December). What moves the bond market? FRBNY Economic Policy Review, 31-50.
15. Fleming, M., & Remolona, E. (1999). Price formation and liquidity in the U.S. Treasury market: The response to public information. The Journal of Finance, 54, 1901-1915.
16. Green, T. (1999). News releases, private information, and intraday price movements in the U.S. Treasury market. Working paper, Emory University.
17. Han, L., Kling, J., & Sell, C. (1999). Foreign exchange futures volatility: Day-of-the-week, intraday, and maturity patterns in the presence of macroeconomic announcements. Journal of Futures Markets, 19, 665-693.
18. Harris, L. (1987). Transaction data tests of the mixture of distributions hypothesis. Journal of Financial and Quantitative Analysis, 22, 127-142.
19. Harvey, C., & Huang, R. (1991). Volatility in the foreign currency futures market. Review of Financial Studies, 4, 543-569.
20. Hsieh, D., & Kleidon, A. (1996). Bid-ask spreads in foreign exchange markets: Implications for models of asymmetric information. In J. Frankel, G. Galli, & A. Giovannini (Eds.), The microstructure of foreign exchange markets. Chicago, IL: University of Chicago Press.
21. Ito, T., Lyons, R., & Melvin, M. (1998). Is there private information in the FX market? The Tokyo experiment. Journal of Finance, 53, 1111-1130.
22. Jarrow, R., & Turnbull, S. (2000). Derivative securities. Cincinnati: South Western College Publishing.
23. Jennings, R., & Starks, L. (1985). Information content and the speed of stock price adjustment. Journal of Accounting Research, 23, 336-350.
24. Jones, C., Lamont, O., & Lumsdaine, R. (1998). Macroeconomic news and bond market volatility. Journal of Financial Economics, 47, 315-337.
25. Kim, O., & Verrecchia, R. (1994). Market liquidity and volume around earnings announcements. Journal of Accounting and Economics, 17, 41-68.
26. Leng, H. (1996). Announcement vs. nonannouncement: A study of intraday transaction price of Deutsche mark and Japanese yen futures. Journal of Futures Markets, 16, 829-857.
27. Li, L., & Engle, R. (1998). Macroeconomic announcements and volatility of treasury futures. Working paper, University of California, San Diego.
28. Newey, W. K., & West, K. D. (1987). A simple, positive semi-definite heteroscedasticity consistent covariance matrix. Econometrica, 55, 703-708.
29. Patell, J., & Wolfson, M. (1984). The intraday speed of adjustment of stock prices to earnings and dividend announcements. Journal of Financial Economics, 13, 223-252.
30. Romer, D. (1993). Rational asset-pricing movements without news. American Economic Review, 83, 1112-1130.
31. Schwert, W. (1989). Why does stock market volatility change over time? Journal of Finance, 44, 28-66.