Further evidence on foreign exchange jumps and news announcements

We apply the bipower variation technique to characterize the jump dynamics in the HUF/EUR market. We then examine the link between jumps and news announcements of various sorts. Our findings confirm that jumps are prevalent, large and account for approximately one-half of the total volatility during the jump days. More importantly, we find that nearly half of the significant jumps are explained by scheduled and unscheduled news releases, confirming the dynamic announcement effect in the FX market. Finally, the post-jump reversal patterns suggest that the realized jumps are mostly information based, whether they are obviously linked with news or not