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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Does FOMC news increase global FX trading? (Global FX Trading & FOMC Deliberations) |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Journal of Banking and Finance |
| Publisher | Elsevier |
| Geographical Reach | international |
| ISSN | 0378-4266 |
| Volume | 35 |
| Number | 11 |
| Page Range | 2965 - 2973 |
| Date | 2011 |
| Abstract Text | Does global currency volume increase on Federal Open Market Committee (FOMC) days? To test hypotheses of abnormal currency volume on FOMC days, a new data set from the Continuous Linked Settlement (CLS) Bank is used. The CLS measure captures more than half of the global trading volume in foreign exchange (FX) markets. The evidence shows that FX trading volume increases about 5% in the spot and the spot-next market following FOMC deliberations. The novelty of this result is that the aggregated CLS data controls for responses in various derivatives markets: a feature that existing studies based on intradaily data for specific trading platforms do not consider. |
| Digital Object Identifier | 10.1016/j.jbankfin.2011.03.024 |
| Other Identification Number | merlin-id:5918 |
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