Volatility in the Foreign Currency Futures Market
利用芝加哥和伦敦期货交易所的交易数据，研究24小时外汇交易中波动性的变化，发现美国交易时段美元兑欧元和日元波动更大，欧洲交易时段欧洲交叉汇率波动更大，且波动增加主要由美国宏观经济新闻发布驱动。
We examine the volatility implications of around-the-clock foreign exchange trading with transaction data on futures contracts from the Chicago Mercantile Exchange and the London International Financial Futures Exchange. We find higher U.S.–European and U.S.–Japanese exchange-rate volatilities during U.S. trading hours and higher European cross-rate volatilities during European trading hours. While the disclosure of private information through trading may partly explain these volatility patterns, we conclude that the increased volatility is more likely driven by macroeconomic news announcements. An analysis of inter- and intraday data also reveals that volatility increases at times that coincide with the release of U.S. macroeconomic news.