| Summary: | 碩士 === 國立暨南國際大學 === 國際企業學系 === 97 === This paper analyzes whether order flow (on behalf of private information) and news surprises (on behalf of public information) have asymmetric influences on the volatility of EUR/USD and USD/JPY. Using the high-frequency dataset from electronic broking system in the period 2004-2005 and considering intraday pattern and day-of-week effect, the empirical results manifest that the effect of negative order last longer than the effect of positive order flow on EUR/USD volatility. However, the effect of positive order flow, which means volume of buying order larger than selling order within 5 minutes, does not only last 30 minutes but also 5 minutes longer than the effect of negative order flow. The empirical results also imply that each classification of news announcements in this paper has an asymmetric effect on exchange rate volatility.
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