Further evidence on foreign exchange jumps and news announcements

• Autores: Michael Frömmel, Xing Han, Frederick Van Gysegem
• Localización: Emerging Markets Finance & Trade, ISSN-e 1558-0938, Vol. 51, Nº. 4, 2015, págs. 774-787
• Idioma: inglés
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• Resumen

  • We apply the bipower variation technique to characterize the jump dynamics in the HUF/EUR market and examine the link between jumps and news announcements of various sources. Our findings confirm that jumps are prevalent, large, and account for approximately one-half of the total volatility during jump days. More important, we find that nearly half of the significant jumps are explained by scheduled and unscheduled news releases, confirming the dynamic announcement effect in the foreign exchange (FX) market. Finally, the postjump reversal patterns suggest that the realized jumps are mostly information based, whether they are obviously linked with news or not.