Ederington, Louis H; Lee, Jae Ha - In: Journal of Finance 48 (1993) 4, pp. 1161-91
The authors examine the impact of scheduled macroeconomic news announcements on interest rate and foreign exchange futures markets. They find these announcements are responsible for most of the observed time-of-day and day-of-the-week volatility patterns in these markets. While the bulk of the...