Information arrivals and intraday exchange rate volatility

Chang, Yuanchen; Taylor, Stephen J.

doi:10.1016/s1042-4431(02)00039-2

Cited by 62 publications

(31 citation statements)

References 28 publications

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“…The impact of these scheduled releases on the volatility of financial 1 A variety of measures for information arrival has been employed in the literature, for example, Mitchell and Mulherin (1994) use the daily number of news announcements reported by Dow Jones & Company, Chang and Taylor (1996) a keyword count in Reuters headlines. markets is underlined, for example, by the findings of Fleming and Remolona (1997) that out of the 25 largest intraday price changes in the U.S. treasuries market all but one occurred after such an announcement.…”

Section: Introductionmentioning

confidence: 99%

Surprises in Scheduled Macroeconomic Announcements: Why Do They Move the Bond Market?

Hess

2003

SSRN Journal

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Section: Introductionmentioning

confidence: 99%

Surprises in Scheduled Macroeconomic Announcements: Why Do They Move the Bond Market?

Hess

2003

SSRN Journal

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“…In this context, macroeconomic indicators have significant influence on exchange rates fluctuation. This fact has been proven by several researches (Almeida et al, 1998;Andersen and Bollerslev, 2003;Chang and Taylor, 2003;Evans and Lyons, 2004). Moreover, Cheung and Chinn (2001) showed that roughly 70% of traders respond to macroeconomics announcements in one minute.…”

Section: Jcsmentioning

confidence: 72%

“…Several researches showed the impact of order flow (Berger et al, 2006;Evans and Lyons, 2002b;, news arrivals and macroeconomics announcements (Almeida et al, 1998;Andersen and Bollerslev, 2003;Chang and Taylor, 2003;Evans and Lyons, 2002a; and fundamentals (Evans and Lyons, 2002b; on forex trading process and the market status.…”

Section: Jcsmentioning

confidence: 99%

Event-Driven Business Intelligence Approach for Real-Time Integration of Technical and Fundamental Analysis in Forex Market

Abuhamad

Mohd

Salim

2013

Journal of Computer Science

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Forex market is the most liquid financial market and the largest market in the world. Forex market has been analysed using two isolated approaches, technical analysis and fundamental analysis. Technical analysis attempts to predict the movement of prices by studying the historical data of the market whereas fundamental analysis concerns essentially with the overall state of the economy. Relying on one kind of analysis limits the quality of trading decisions therefore traders usually gain insight into the market by analysing many factors which may influence the market state and the price movement. This process has become increasingly challenging due to the vast and variant number of prices' determinants and the rapid changes in the market dynamics. This study proposes an event-driven business intelligence approach to respond immediately to any change in the market status by generating trading signals based on different analyses. Targeting the value associated with the data as it arrives, different models are built to capture and process the data of three currencies against US dollar in different frequency as well as the data of nine US macroeconomic indicators. The time-series data for both technical and fundamental indicators are modelled using artificial neural network while a knowledge base model is implemented to integrate the signals generated by time-series models. The experimental results show a remarkable improvement in the quality of trading signals using real-time consideration of different analyses.

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“…To test the validity of this expectation, researchers in the past investigated the effect of public information arrival on asset returns and asset return volatility. One group of researchers used macroeconomic announcements as a proxy for new information arrival (Ederington and Lee 1993;Andersen and Bollerslev 1998;Almeida, Goodhart and Payne 1998;Pearce and Roley 1985;Solakoglu 2007, Kutan andAksoy, 2004a), while some other researchers used trading volume or the frequency of news arrival to the market as the proxy for the new information arrival (Lamoureux and Lastrapes 1990;Andersen 1996;Domowitz 1993, Locke andSayers 1993;Berry and Howe 1994;Kalev et al 2004;Mitchell and Mulherin 1994;Janssen 2004;Chang andTaylor 2003, Baklacı et al 2011;Solakoglu and Demir, 2015). Güvercin and Demir (2015a) examined the relationship between earnings announcements, earnings stability and firm value using panel data analysis.…”

Section: Introductionmentioning

confidence: 99%

The Effect of Earnings Announcements on Firm Value: A Quantile Regression Approach

Güvercin

2016

isader

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In this study, we examine the effect of earnings announcements on firm value by looking at the relationship at different points of the conditional distribution. The analysis covers non-financial companies listed in Borsa Istanbul's BIST100 index for the 2009-2013 years. The study also takes into account the effect of earnings persistence, whether the firm pay dividends, and brand name on the relationship between earnings announcements and firm value. Our analysis also investigates that relationship using a accurately method, namely Quantile Regression, by looking at the relationship at different points of the conditional distribution.

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Information arrivals and intraday exchange rate volatility

Cited by 62 publications

References 28 publications

Surprises in Scheduled Macroeconomic Announcements: Why Do They Move the Bond Market?

Surprises in Scheduled Macroeconomic Announcements: Why Do They Move the Bond Market?

Event-Driven Business Intelligence Approach for Real-Time Integration of Technical and Fundamental Analysis in Forex Market

The Effect of Earnings Announcements on Firm Value: A Quantile Regression Approach

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