Abstract
This study investigates the impact of scheduled and unscheduled information arrival on realized volatility and volume in the USD/AUD exchange rate. The authors find that trading outside of Australian business hours dominates and this is mostly due to the higher frequency of information arrivals during the offshore trading period. Where the different sources of information are considered, our findings reveal that it is offshore money market news that is the most important determinant of AUD volatility. Fixed income and, to a lesser extent, foreign exchange related news however, were found to be the most important determinants of AUD volume. Finally, while Australian macroeconomic announcements were found to have a more consistent impact on AUD volatility, US macroeconomic news had a considerably larger impact.
| Original language | English |
|---|---|
| Pages (from-to) | 8-24 |
| Number of pages | 17 |
| Journal | Investment Management and Financial Innovations |
| Volume | 11 |
| Issue number | 4 |
| Publication status | Published - 2014 |
Keywords
- Australian dollar
- Foreign exchange
- Market microstructure
- News