Abstract

This study provides new evidence on the effects of macroeconomic news announcements and their impact on the yen/US$ exchange rate. Trading days are divided into 4 groups: (1) major US announcement days, (2) minor US announcement days, (3) Japanese announcement days, and (4) Non-announcement days. These groups are examined to determine the effects they have upon the volatility of intraday (five-minute) returns of yen futures contracts. Both Japanese and US announcements are also examined in order to determine which specific announcements have the greatest affect upon the exchange rate. Both US and Japanese announcements are found to have significant impacts on the volatility of intraday returns of yen futures contracts. Major US announcements were found to have the greatest affect upon the exchange rate, with Japanese announcements having the second largest affect. The increased volatility, due to the release of the announcements continues to affect volatility throughout the day, however the major impact disappears quite rapidly