This paper uses one-minute returns on the TOPIX and S&P500 to examine the efficiency of the Tokyo and New York Stock Exchanges. Our major finding is that Tokyo completes reactions to New York within six minutes, but New York reacts within fourteen minutes. Dividing the sample period into three...

This article examines the impact of serial correlation in high frequency returns on the realized variance measure. In particular, it is shown that the realized variance measure yields a biased estimate of the conditional return variance when returns are serially correlated. Using 10 years of...

We investigate the existence of chart patterns in the Euro/Dollar intra-daily foreign exchange market. We use two identification methods of the different chart patterns: one built on close prices only, and one based on low and high prices. We look for twelve types of chart patterns and we study...

Historical and sequential CUSUM change-point tests for strongly dependent nonlinear processes are studied. These tests are used to monitor the conditional variance of asset returns and to provide early information regarding instabilities or disruptions in financial risk. Data-driven monitoring...

An important claim of Bayesian learning and a standard assumption in price discovery models is that the strength of the price impact of unanticipated information depends on the precision of the news. In this paper, we test for this assumption by analyzing intra-day price responses of CBOT T-bond...

This paper deals with the impact of nine categories of scheduled and unscheduled news announcements on the Euro/Dollar return volatility. We highlight and analyze the pre-announcement, contemporaneous and postannouncement reactions. Using high-frequency intraday data and within the framework of...