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Does FOMC news increase global FX trading? (Global FX Trading & FOMC Deliberations)


Ranaldo, Angelo; Fischer, Andreas M (2011). Does FOMC news increase global FX trading? (Global FX Trading & FOMC Deliberations). Journal of Banking and Finance, 35(11):2965-2973.

Abstract

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.

Abstract

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.

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11 citations in Scopus®
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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Scopus Subject Areas:Social Sciences & Humanities > Finance
Social Sciences & Humanities > Economics and Econometrics
Scope:Discipline-based scholarship (basic research)
Language:English
Date:2011
Deposited On:22 Aug 2023 12:03
Last Modified:29 Apr 2024 01:39
Publisher:Elsevier
ISSN:0378-4266
OA Status:Green
Publisher DOI:https://doi.org/10.1016/j.jbankfin.2011.03.024
Other Identification Number:merlin-id:5918
  • Content: Accepted Version
  • Language: English