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The Impact of Macroeconomic News on Return and Volatility of Exchange Rates

ФИО студента: Aleksandr Popov

Руководитель: Agata Maximovna Lozinskaia

Кампус/факультет: Faculty of Economics, Management, and Business Informatics

Программа: Finance (Master)

Год защиты: 2019

This study investigates the impact of macroeconomic information on the return and volatility of 6 exchange rates. Using 10-minutes data for 2018, models, where on 1-dimensional time series models were applied, it was conducted that macroeconomic indicators have significant impact on both return and volatility. Obtained results allow to suppose the violation of semi-strong market efficiency hypothesis as well as the presence of insider trading and surprise effect (mismatch between expected and real values).

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