Impacts of macroeconomic announcements on spreads in the foreign exchange market

• Main Authors: Fu-Jen Tsai, 蔡富仁
• Other Authors: Yin-Feng Gau
• Format: Others
• Language: en_US
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/11095781229440337309

碩士 === 國立暨南國際大學 === 國際企業學系 === 98 === This paper uses the high frequency data set covering the period 2003 to 2007 from the EBS (Electronic Broking Services) to investigate the intraday pattern and the day-of-the-week effect in the quoted spreads and the impact of announcements form USA, EMU, Japan on quoted spreads. We find the intraday pattern and the day-of-the-week effect do exist. The empirical results indicate that some announcements from EMU affect the quoted spread of EUR/USD and announcements from USA have a stronger significant impact on USD/JPY quoted spread than those from Japan. Besides, the outcome for US announcements of International Trade and Jobless Claim etc., EMU announcements of PPI etc., and Japan announcements of GDP and Retail Sales etc. are expected by traders so that quoted spreads do not respond to them at the time of their releases.