Arbeitspapier

09/11 on the USD/EUR Foreign Exchange Market

zu Verbundenen Objekten

We study the relationship between foreign exchange trading activity and volatility on the USD/EUR foreign exchange market on the basis of a unique data set around the events of 09/11/2001. We find that volatility and bid-ask spreads are by far larger at that time, but the shock is not persistent. The positive correlation between volume and volatility does not break up, but intensifies strongly indicating the arrival of new information and increased price risk. We conclude that the USD/EUR foreign exchange market maintains its liquid structure and its efficient processing of exogenous shocks.

Sprache
Englisch

Erschienen in
Series: Diskussionsbeitrag ; No. 312

Klassifikation
Wirtschaft
Information and Market Efficiency; Event Studies; Insider Trading
Foreign Exchange
International Financial Markets
Thema
foreign exchange
market microstructure
liquidity
sudden events

Ereignis
Geistige Schöpfung
(wer)
Mende, Alexander
Ereignis
Veröffentlichung
(wer)
Universität Hannover, Wirtschaftswissenschaftliche Fakultät
(wo)
Hannover
(wann)
2005

Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Original beim Datenpartner anzeigen

Objekttyp

  • Arbeitspapier

Beteiligte

  • Mende, Alexander
  • Universität Hannover, Wirtschaftswissenschaftliche Fakultät

Entstanden

  • 2005

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