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Volatility in the Foreign Currency Futures Market

Review of Financial Studies, 6 (1991): 543-569

Campbell R. Harvey

Duke University
University of Chicago

Roger D. Huang

Vanderbilt University


Using transactions data on the foreign currency futures contracts traded on the Chicago Mercantile Exchange and the London International Financial Futures Exchange, we examine the role of U.S. macroeconomic news disclosures in affecting the volatility of global exchange rates. We find that news eminating from the U.S. induces higher U.S.-European and U.S.-Japanese exchange rate volatilities during U.S. trading hours. Cross-European exchange rate volatilities are highest during London trading hours but are still heavily influenced by the release of U.S. public information. We also uncover inter and intraday volatility patterns that appear to be driven by the timing of U.S. macroeconomic announcements.