Work

Intraday Yen/Dollar Exchange Rate Movements: News or Noise?

Year: 1988

Type: report

Abstract: Intraday movements in the yen/dollar rate are examined over the 1980-86 period using opening and closing quotes in the New York and Tokyo markets.The results indicate that random-walk behavior is violated about half of the time in various subsamples.However, the economic significance of departures from the random-walk model diminshes over time.Large jumps in the exchange rate also are examined, and some evidence on subsequent mean reversion is presented.Finally, the response of Japanese and U.S. stock prices suggests that intraday yen/dollar rate movements do contain at least some relevant information.

Source: National Bureau of Economic Research

DOI: 10.3386/w2703

Authors: Takatoshi Ito, V. Vance Roley

Institutions: Hitotsubashi University, University of Minnesota, National Bureau of Economic Research, University of Washington, Institute of Economic Research, Hitotsubashi University

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: National Science Foundation, University of Washington, University of British Columbia

OpenAlex ID: W1580254436

Cites: 39

Cited by: 21

Related to: 10