09/11 on the USD/EUR Foreign Exchange Market

We study the relationship between foreign exchange trading activity and volatility on theUSD/EUR foreign exchange market on the basis of a unique data set around the events of09/11/2001. We find that volatility and bid-ask spreads are by far larger at that time, but theshock is not persistent. The positive correlation between volume and volatility does not breakup, but intensifies strongly indicating the arrival of new information and increased price risk.[...]

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Year of publication:	2005-02-01
Authors:	Mende, Alexander
Institutions:	Universität <Hannover> / Wirtschaftswissenschaftliche Fakultät
Subject:	Außenhandel \| external trade \| Liquidität \| Wechselkurs \| Marktstruktur

Table of Contents
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1 Introduction
2 Trading volume and volatility in the literature
3 Empirical results
3.1 Data description
3.2 Impact and persistence of 09/11 on foreign exchange trading determinants
4 Conclusion
References

Persistent link: https://www.econbiz.de/10005867597