The role of information arrival for the Australian dollar trading volume and volatility

Suk Joong Kim*, Michael D. McKenzie, Di Amy Shi

*Corresponding author for this work

Research output: Contribution to journalArticle

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 languageEnglish
Pages (from-to)8-24
Number of pages17
JournalInvestment Management and Financial Innovations
Volume11
Issue number4
Publication statusPublished - 2014

Keywords

  • Australian dollar
  • Foreign exchange
  • Market microstructure
  • News

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