We examine the volatility implications of around-the-clock foreign exchange trading with transaction data on futures contracts from the Chicago Mercantile Exchange and the London International Financial Futures Exchange. We find higher U.S.–European and U.S.–Japanese…
# Volatility in the Foreign Currency Futures Market
> OpenAlex Metadata Hub · https://openalex.org/W2036760811
## Bibliographic
- **DOI:** 10.1093/rfs/4.3.543
- **Year:** 1991
- **Citations:** 286
- **Open Access:** No (closed)
- **License:** —
- **Source:** https://doi.org/10.1093/rfs/4.3.543
## Authors
- Campbell R. Harvey
- Roger D. Huang
## Abstract
We examine the volatility implications of around-the-clock foreign exchange trading with transaction data on futures contracts from the Chicago Mercantile Exchange and the London International Financial Futures Exchange. We find higher U.S.–European and U.S.–Japanese exchange-rate volatilities during U.S. trading hours and higher European cross-rate volatilities during European trading hours. While the disclosure of private information through trading may partly explain these volatility patterns, we conclude that the increased volatility is more likely driven by macroeconomic news announcements. An analysis of inter- and intraday data also reveals that volatility increases at times that coincide with the release of U.S. macroeconomic news.
## Keywords
Futures contract, Volatility (finance), Foreign exchange market, Currency, Economics, Volatility swap, Foreign exchange, Financial economics, Foreign exchange swap, Monetary economics, Implied volatility
## Concepts
- Futures contract
- Volatility (finance)
- Foreign exchange market
- Currency
- Economics
- Volatility swap
- Foreign exchange
- Financial economics
- Foreign exchange swap
- Monetary economics
- Implied volatility
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*Metadata only — full text not imported unless Open Access license permits.*
Bài “Volatility in the Foreign Currency Futures Market” được TradingBase chuyển thành Knowledge Product cho trader — không phải trang đọc abstract OpenAlex.
Tóm lược học thuật (đã diễn giải): We examine the volatility implications of around-the-clock foreign exchange trading with transaction data on futures contracts from the Chicago Mercantile Exchange and the London International Financial Futures Exchange. We find higher U.S.–European and U.S.–Japanese exchange-rate volatilities during U.S. trading hours and higher European cross-rate volatilities during European trading hours. While the disclosure of private information through trading may partly explain these volatility patterns, we conclude that the increased volatility is more likely driven by macroeconomic news announcements. An analysis of inter- and intraday data also reveals that volatility increases at times that coincide with the release of U.S. macroeconomic news.
Phần Trading Insights bên dưới nối nghiên cứu với Forex, vàng, USD, lãi suất và risk regime — để bạn đưa vào journal và playbook.
Metadata DOI/OA chỉ là rail tham chiếu; nội dung chính là summary, takeaways và ứng dụng thị trường do Content Factory sinh.
1. We examine the volatility implications of around-the-clock foreign exchange trading with transaction data on futures contracts from the Chicago Mercantile Exchange and the London International Financial Futures Exchange.
2. We find higher U.S.–European and U.S.–Japanese exchange-rate volatilities during U.S.
3. trading hours and higher European cross-rate volatilities during European trading hours.
4. While the disclosure of private information through trading may partly explain these volatility patterns, we conclude that the increased volatility is more likely driven by macroeconomic news announcements.
5. An analysis of inter- and intraday data also reveals that volatility increases at times that coincide with the release of U.S.
Trader nên nối luận điểm policy/lãi suất trong tài liệu với bias trung hạn của USD và các cặp major — đặc biệt quanh FOMC / dữ liệu CPI.
Với XAUUSD: kỳ vọng cắt lãi / USD yếu thường hỗ trợ vàng; hawkish surprise thường gây áp lực giảm — dùng khung này để đọc reaction sau tin, không đoán trước.
Áp dụng vào FX: theo dõi transmission từ theory (pricing, carry, balance-sheet) sang hành vi giá trên M15–H4 sau các event thanh khoản cao.
Góc Forex: đối chiếu kết luận bài với hành giá gần nhất và lịch tin impact cao trước khi vào lệnh.
Góc Gold (XAUUSD): đối chiếu kết luận bài với hành giá gần nhất và lịch tin impact cao trước khi vào lệnh.
Trading: rút 1 bias hoặc 1 setup hypothesis từ Key Takeaways, test trên demo/journal trước khi live.
Risk: chuyển insight thành rule (max risk/trade, pause quanh tin, correlation USD–vàng) và gắn vào playbook.
