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Information and Volatility in the FX Market

Finanzmarkt und Portfolio Management, 6 (1992): 14-22

Campbell R. Harvey

Duke University

Roger D. Huang

Vanderbilt University

Abstract

This paper examines the association between public and private information trading and the intraday volatility of foreign exchange futures. The results indicate that higher volatilities are associated with public news releases and private information trading. Specifically, the elevated opening volatilities on the Chicago Mercantile Exchange coinide with the release of U.S. macroeconomic news, and higher volatilities are observed during the period when the Federal Reserve Bank of New York conducts open market operations.