Public News Announcements and Quoting Activity in the Euro/Dollar Foreign Exchange Market Articles uri icon

authors

  • BEN OMRANE, WALID
  • HEINEN, ANDREAS JOSEF

publication date

  • November 2010

start page

  • 2419

end page

  • 2431

issue

  • 11

volume

  • 54

International Standard Serial Number (ISSN)

  • 0167-9473

Electronic International Standard Serial Number (EISSN)

  • 1872-7352

abstract

  • The effect of public news announcements on dealers' quoting activity is analyzed with the multivariate double autoregressive conditional Poisson model. Quoting activity is measured by the frequency of price revisions
    in the Euro/Dollar foreign exchange market. The multivariate double
    autoregressive conditional Poisson model is designed for time series of
    count data. It is based on the double Poisson distribution, which can be
    both over- and underdispersed. The main findings are first a
    significant interaction between dealers' quoting activity, which
    confirms hot potato trading. Second, news announcements have a different
    impact on the quoting activity of different banks. Third,
    impulse-response functions to news announcements show the dynamic nature
    of the reaction to these news releases.