Trading Activity and Macroeconomic Announcements in High-Frequency Exchange Rate Data
利用五年期欧元兑美元和美元兑日元的高频数据，发现交易量在宏观经济数据发布时激增，即使数据符合预期，且公告后交易量与预期分歧负相关，价格跳跃先于交易量激增。
This article introduces a new high-frequency data set that includes global trading volume and prices over five years in the spot euro-dollar and dollar-yen currency pairs. Studying the effects of US macroeconomic data releases, we show that spikes in trading volume tend to occur even when announcements are in line with market expectations, in sharp contrast to the price response. There is some evidence that the volume after announcements is negatively related to the ex ante dispersion of market expectations, contrary to the standard theoretical prediction. At very high frequency, we find evidence that much of the immediate jump in prices in reaction to an announcement occurs before the surge in volume.