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

Takatoshi Ito · V. Vance Roley

21 citations0/0 files storedNational Bureau of Economic Research

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Financial Markets and Investment Strategies Monetary Policy and Economic Impact Financial Risk and Volatility Modeling

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.

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1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?1988Permanent and Temporary Components of Stock Prices 1987Time Series Regression with a Unit Root 1980Stock returns and the weekend effect 1987Mean Reversion in Stock Prices: Evidence and Implications 1981Day of the Week Effects and Asset Returns 1982Bubbles, Rational Expectations and Financial Markets 1987Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test

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