Foreign exchange markets, behavior of options volatility and bid-ask spread around macroeconomic announcements

Figures & data

Figure 1. Exchange rates at level with extended data.

Table 1. Descriptive statistics

	DLGBP_CNY	DLUSD_ CNY	DLJPY_CNY	DLEUR_CNY	DLBPVIX	DLVIX	DLVXFXI	DLEUVIX	DLJY VIX	DLEUR_ SPREAD	DLGBP_ SPREAD	DLJPY_ SPREAD	DLUSD_ SPREAD
Mean	-0.009245	-0.00093	-0.019179	-0.005952	-0.1474	-0.14	-0.1065	-0.1252	-0.0522	-0.823921	0.207046	0.889181	1.120969
Median	-0.002158	0	-0.010648	-0.001786	-0.1632	-0.39	-0.4174	-0.1363	0	0	0	0	0
Maximum	2.853231	1.833421	3.896413	2.881229	37.127	40.10	36.5767	49.684	30.106	283.3213	415.8883	349.6508	460.517
Minimum	-7.52284	-0.834135	-3.404539	-2.440769	-43.869	-31.4	-18.513	-73.966	-28.010	-344.8222	-526.269	-298.7364	-460.517
Std. Dev.	0.54826	0.147853	0.601188	0.535336	4.5049	7.264	4.8532	5.6281	4.83727	59.62597	64.83873	65.64538	85.17367
Skewness	-1.53015	0.992646	0.014403	-0.053598	-0.5182	0.730	1.0862	-1.1799	0.2235	-0.240502	-0.249413	-0.189595	0.075856
Kurtosis	25.31967	22.55742	6.979688	5.401479	17.8811	7.235	8.3062	37.954	7.1849	6.97209	13.88985	6.453908	7.592672
Jarque-Bera	34808.31	26502.93	1086.274	396.315	15261.3	1376	2254.7	84175.9	1214.8	988.5486	7338.224	745.5239	1303.892
Probability	0	0	0	0	0	0	0	0	0	0	0	0	0
Obs.	1646	1646	1646	1646	1646	1646	1646	1646	1646	1482	1482	1482	1482
ADF	-39.63949	-39.57281	-38.30145	-39.58306	-36.201	-41.2	-38.802	-45.047	-39.961	-26.73815	-21.07626	-32.40546	-24.70596

Table 2. Pairwise granger causality tests

Panel A: USD/CNY, USD/CNY Spread, VXFXI and VIX
Null Hypothesis:	Obs.	F-Statistic	Prob.
VIX does not Granger Cause DLUSDCNY	1873	3.74963	0.0237
VXFXI does not Granger Cause USD_SPREAD	1874	3.19722	0.0411
VIX does not Granger Cause USD_SPREAD	1874	5.45527	0.0043
USD_SPREAD does not Granger Cause VIX		4.10976	0.0166
VIX does not Granger Cause VXFXI	1874	4.83589	0.0080
Panel B: JPY/CNY, JPY/CNY Spread, JYVIX and VXFXI
Null Hypothesis:	Obs.	F-Statistic	Prob.
VXFXI does not Granger Cause DLJPY_CNY	1873	3.33321	0.0359
JYVIX does not Granger Cause JPY_SPREAD	1874	11.8267	0.0000
JPY_SPREAD does not Granger Cause JYVIX		3.95795	0.0193
VXFXI does not Granger Cause JYVIX	1874	17.8353	0.0000
JYVIX does not Granger Cause VXFXI		3.74595	0.0238
Panel C: EUR/CNY, EUR/CNY Spread, EUVIX and VXFXI
Null Hypothesis:	Obs.	F-Statistic	Prob.
EUVIX does not Granger Cause DLEUR_CNY	1873	17.8188	0.0000
VXFXI does not Granger Cause DLEUR_CNY	1873	6.24757	0.0020
EUVIX does not Granger Cause EUR_SPREAD	1874	5.98848	0.0026
VXFXI does not Granger Cause EUR_SPREAD	1874	6.77471	0.0012
VXFXI does not Granger Cause EUVIX	1874	10.3387	0.0000
EUVIX does not Granger Cause VXFXI		5.53532	0.0040
Panel D: GBP/CNY, GBP/CNY Spread, BPVIX and VXFXI
Null Hypothesis:	Obs.	F-Statistic	Prob.
DLGBP_CNY does not Granger Cause GBP_SPREAD		2.59200	0.0751
BPVIX does not Granger Cause DLGBP_CNY	1873	4.95098	0.0072
DLGBP_CNY does not Granger Cause BPVIX		5.57793	0.0038
BPVIX does not Granger Cause GBP_SPREAD	1874	2.60365	0.0743
GBP_SPREAD does not Granger Cause BPVIX		4.87504	0.0077
VXFXI does not Granger Cause GBP_SPREAD	1874	4.79792	0.0083

Note: Only significant outcomes are shown to conserve the space.

Table 3. USD/CNY, spread, VXFXI, VIX and USA announcements

	DLUSDCNY	DLUSD_SPREAD	DLVXFXI	DLVIX
DLUSDCNY(−1)	0.0996***	8.0511	0.4385	−0.6878
DLUSDCNY(−2)	−0.0475*	−8.7185	−1.1454	−0.4837
DLUSDCNY(−3)	0.0354	1.7829	1.0877	1.3476
DLUSDCNY(−4)	0.0198	−1.8334	−0.6838	−1.7871
DLUSDCNY(−5)	0.0696***	14.661	1.7586**	1.6939
DLUSDCNY(−6)	−0.0269	3.1333	0.5014	1.8199
DLUSD_SPREAD(−1)	0.0001	−0.5473***	0.0019	−0.0005
DLUSD_SPREAD(−2)	0.0001	−0.4342***	−0.0001	−0.0015
DLUSD_SPREAD(−3)	−0.0003	−0.2789***	0.0009	0.0005
DLUSD_SPREAD(−4)	−0.0001	−0.2315***	0.0015	−0.0009
DLUSD_SPREAD(−5)	−0.0000	−0.1663***	0.0004	−0.0020
DLUSD_SPREAD(−6)	−0.0000	−0.1069***	0.0019	−0.0004
DLVXFXI(−1)	−0.0001	0.0359	−0.0216	0.1091**
DLVXFXI(−2)	−0.0011	−0.0092	−0.0461	−0.0897*
DLVXFXI(−3)	0.0017	0.7396	−0.0401	−0.0590
DLVXFXI(−4)	−0.0005	−0.2961	−0.1192***	−0.0836
DLVXFXI(−5)	−0.0014	−0.0295	−0.0265	0.0780
DLVXFXI(−6)	−0.0022*	−0.6344	−0.0482	0.0476
DLVIX(−1)	0.0013*	0.3659	0.0584***	−0.0621*
DLVIX(−2)	0.0000	−0.1847	0.0047	−0.0221
DLVIX(−3)	−0.0006	−0.0634	0.0062	−0.0270
DLVIX(−4)	0.0008	0.4871	0.0256	−0.0050
DLVIX(−5)	0.0009	−0.1140	0.0151	−0.0712**
DLVIX(−6)	0.0008	0.3400	0.0270	−0.0576*
C	0.0026	−2.0317	−0.0044	0.0747
D	−0.0100	10.604***	−0.3086	−0.9668***
D(−1)	−0.0035	−0.2362	−0.1615	−0.6162*
D(1)	0.0030	1.4645	0.3986	0.5896
Consumer Confidence	−0.0402**	−8.7085	−1.1528**	−1.0355
Durable Goods Orders	0.0282	24.844***	0.8656	0.3862
Factory Orders	0.0082	−20.089**	−0.5099	−0.7400
GDP Annualized QOQ	−0.0204	−1.1049	−1.3288**	−0.9651
Housing Starts	−0.0248	2.6555	−1.4374**	−1.5744*
Personal Consumption	−0.0187	−0.6499	−1.4389**	−1.0045
Personal Income	−0.0484**	26.928***	1.2423**	0.9992
Unemployment Rate	0.0092	21.463**	−0.3973	−2.3990***
Total Net TIC Flows	−0.0090	2.1609	−1.4226**	−1.5230
R-squared	0.0369	0.2558	0.0393	0.0379

Note: An aggregate dummy variable of the US macroeconomic announcements is created to explore overall impact other than individual effects on the day of announcement (D), a day before the announcement D (−1) and a day after the announcement D (1). *, **, *** represent the level of significance at 10, 5, and 1% respectively. Most of the insignificant announcements are not shown here to conserve space.

Table 4. USD/CNY, spread, VXFXI, VIX & Chinese announcements

	DLUSDCNY	DLUSD_SPREAD	DLVXFXI	DLVIX
DLUSDCNY(−1)	0.0917***	8.7037	0.3272	−0.9316
DLUSDCNY(−2)	−0.0439	−7.1753	−0.9447	−0.1994
DLUSDCNY(−3)	0.0377	3.9349	0.9970	1.3415
DLUSDCNY(−4)	0.0176	−1.3537	−0.6923	−1.7564
DLUSDCNY(−5)	0.0659**	12.368	1.5476**	1.5992
DLUSDCNY(−6)	−0.0303	1.9045	0.2588	1.4468
DLUSD_SPREAD(−1)	0.0000	−0.5429***	0.0016	−0.0010
DLUSD_SPREAD(−2)	0.0001	−0.4306***	0.0001	−0.0015
DLUSD_SPREAD(−3)	−0.0000	−0.2834***	0.0007	0.0007
DLUSD_SPREAD(−4)	−0.0001	−0.2364***	0.0014	−0.0006
DLUSD_SPREAD(−5)	−0.0000	−0.1663***	0.0007	−0.0015
DLUSD_SPREAD(−6)	−0.0000	−0.1036***	0.0027	0.0005
DLVXFXI(−1)	−0.0003	−0.0811	−0.0308	0.0989*
DLVXFXI(−2)	−0.0010	0.0691	−0.0341	−0.0740
DLVXFXI(−3)	0.0015	0.6299	−0.0459	−0.0689
DLVXFXI(−4)	−0.0006	−0.1785	−0.1244***	−0.0876
DLVXFXI(−5)	−0.0015	0.0715	−0.0225	0.0925*
DLVXFXI(−6)	−0.0022**	−0.5272	−0.0423	0.0487
DLVIX(−1)	0.0013*	0.3675	0.0585***	−0.0603*
DLVIX(−2)	0.0000	−0.1911	0.0013	−0.0273
DLVIX(−3)	−0.0006	−0.0645	0.0056	−0.0276
DLVIX(−4)	0.0007	0.4220	0.0275	−0.0014
DLVIX(−5)	0.0010	−0.1650	0.0129	−0.0775**
DLVIX(−6)	0.0007	0.3015	0.0232	−0.0599*
C	0.0040	1.1998	−0.0705	−0.2219
D	−0.0050	−4.8745	−0.0881	0.3435
D(−1)	0.0120	−2.6731	−0.0751	0.2296
D(1)	0.0096	−4.0687	0.0166	0.3821
Balance of Trade	0.0138	−5.9686	0.3155	1.5161
Foreign Direct Investment	−0.0292	−0.8091	−1.0086*	−0.8404
Foreign Reserves	−0.0002	−17.8916	0.5956	0.8378
GDP (YOY)	−0.0564	−0.5093	−2.4882**	−3.5939*
Leading Index	−0.0653***	−20.401*	0.3386	2.0129*
Money Supply	0.0695	−10.7225	0.7072	−3.4812
Activity Index	0.0139	9.7783	−1.5816**	−1.4045
Non-Manufacturing Index	0.0057	6.1943	0.7139	−0.5267
Price Index	−0.0206	−10.549	−0.1955	0.2415
R-squared	0.0379	0.2511	0.0380	0.0353

Note: An aggregate dummy variable of Chinese macroeconomic announcements is created to explore overall impact other than individual

effects on the day of announcement (D), a day before the announcement D(−1) and a day after the announcement D(1).

*, **, *** represent the level of significance at 10, 5, and 1% respectively.

Table 5. GBP/CNY, spread, BPVIX, VXFXI & UK announcements

	dlgbp_cny	dlgbp_spread	dlbpvix	dlvxfxi
DLGBP_CNY(−1)	0.0037	2.4770	−0.3632*	−0.3693*
DLGBP_CNY(−2)	−0.0286	2.9451	0.2420	0.1247
DLGBP_CNY(−3)	−0.0032	0.6268	−0.1427	−0.0123
DLGBP_CNY(−4)	−0.0281	3.9747*	−0.4592**	−0.0821
DLGBP_CNY(−5)	−0.0367	−0.8244	0.0928	0.0274
DLGBP_SPREAD(−1)	0.0002	−0.7346***	0.0001	−0.0008
DLGBP_SPREAD(−2)	0.0002	−0.5243***	0.0008	0.0013
DLGBP_SPREAD(−3)	0.0004	−0.4115***	0.0010	0.0037
DLGBP_SPREAD(−4)	0.0003	−0.2804***	0.0020	0.0033
DLGBP_SPREAD(−5)	0.0002	−0.1194***	−0.0001	0.0006
DLBPVIX(−1)	0.0030	0.2557	0.0507**	0.0432
DLBPVIX(−2)	−0.0007	0.1421	−0.0267	0.0168
DLBPVIX(−3)	−0.0052*	−0.0407	0.0207	0.0337
DLBPVIX(−4)	−0.0030	−0.0337	0.0168	−0.0648**
DLBPVIX(−5)	0.0051*	0.0324	0.0067	−0.0132
DLVXFXI(−1)	0.0010	−0.2510	0.0217	−0.0215
DLVXFXI(−2)	−0.0006	0.0283	−0.0089	0.0161
DLVXFXI(−3)	−0.0023	−0.0277	0.0047	−0.0505**
DLVXFXI(−4)	−0.0014	0.0336	−0.0583***	−0.0836***
DLVXFXI(−5)	0.0053**	−0.0297	−0.0116	−0.0250
C	−0.0155	−0.0697	0.1941	0.1881
D	0.0043	0.2700	−0.6717***	−0.7056***
D(−1)	0.0125	1.7966	−0.2097	−0.1570
D(1)	−0.0120	−2.5549	0.2501	0.2287
Bank of England Bank Rate	0.0037	2.4770	−0.3632*	−0.3693*
CPI (YOY)	−0.0286	2.9451	0.2420	0.1247
Imports & Exports	−0.0032	0.6268	−0.1427	−0.0123
GDP (YOY)	−0.0281	3.9747*	−0.4592**	−0.0821
Consumer Confidence	−0.0367	−0.8244	0.0928	0.0274
Unemployment Rate	0.0002	−0.7346***	0.0001	−0.0008
Industrial Production	0.0002	−0.5243***	0.0008	0.0013
Money Supply M4	0.0004	−0.4115***	0.0010	0.0037
Net Consumer Credit	0.0003	−0.2804***	0.0020	0.0033
Official Reserves Change	0.0002	−0.1194***	−0.0001	0.0006
Total Business Investment	0.0030	0.2557	0.0507**	0.0432
Trade Balance	−0.0007	0.1421	−0.0267	0.0168
Government Spending	−0.0052*	−0.0407	0.0207	0.0337
R-squared	−0.0030	−0.0337	0.0168	−0.0648**

Note: An aggregate dummy variable of UK macroeconomic announcements is created to explore overall impact other than individual

effects on the day of announcement (D), a day before the announcement D(−1) and a day after the announcement D(1).

*, **, *** represent the level of significance at 10, 5, and 1% respectively.

Table 6. GBP/CNY, spread, BPVIX, VXFXI & Chinese announcements

	DLGBP_CNY	DLGBP_SPREAD	DLBPVIX	DLVXFXI
DLGBP_CNY(−1)	0.0040	2.4570	−0.3884*	−0.3593*
DLGBP_CNY(−2)	−0.0275	2.8510	0.2349	0.1466
DLGBP_CNY(−3)	−0.0029	0.6036	−0.1322	−0.0173
DLGBP_CNY(−4)	−0.0257	4.1203*	−0.4752**	−0.1084
DLGBP_CNY(−5)	−0.0351	−0.9036	0.1502	0.0693
DLGBP_SPREAD(−1)	0.0002	−0.7344***	0.0002	−0.0007
DLGBP_SPREAD(−2)	0.0002	−0.5229***	0.0008	0.0012
DLGBP_SPREAD(−3)	0.0004	−0.4108***	0.0011	0.0039
DLGBP_SPREAD(−4)	0.0003	−0.2810***	0.0020	0.0036
DLGBP_SPREAD(−5)	0.0002	−0.1199***	0.0000	0.0008
DLBPVIX(−1)	0.0032	0.2224	0.0476*	0.0446*
DLBPVIX(−2)	−0.0006	0.1535	−0.0295	0.0135
DLBPVIX(−3)	−0.0056*	−0.0178	0.0229	0.0361
DLBPVIX(−4)	−0.0027	−0.0208	0.0203	−0.0619**
DLBPVIX(−5)	−0.0056*	−0.0140	0.0218	0.0373
DLVXFXI(−1)	0.0008	−0.2613	0.0225	−0.0217
DLVXFXI(−2)	−0.0007	0.0286	−0.0094	0.0158
DLVXFXI(−3)	−0.0025	−0.0453	0.0023	−0.0510**
DLVXFXI(−4)	−0.0017	0.0629	−0.0675***	−0.0902***
DLVXFXI(−5)	0.0052**	−0.0040	−0.0159	−0.0233
C	−0.0260	0.1191	−0.2410	0.0889
D	0.0103	−1.2949	0.4788**	0.0124
D(−1)	−0.0171	1.4007	0.3552	−0.3958
D(1)	0.0527**	−1.4176	0.0137	−0.0320
Balance of Trade	0.0040	2.4570	−0.3884*	−0.3593*
Foreign Direct Investment	−0.0275	2.8510	0.2349	0.1466
Foreign Reserves	−0.0029	0.6036	−0.1322	−0.0173
GDP (YOY)	−0.0257	4.1203*	−0.4752**	−0.1084
Activity Index	−0.0351	−0.9036	0.1502	0.0693
Leading Index	0.0002	−0.7344***	0.0002	−0.0007
Money Supply	0.0002	−0.5229***	0.0008	0.0012
Manufacturing Index	0.0004	−0.4108***	0.0011	0.0039
New Year Loans	0.0003	−0.2810***	0.0020	0.0036
Price Index	0.0002	−0.1199***	0.0000	0.0008
Non-Manufacturing Index	0.0032	0.2224	0.0476*	0.0446*
R-squared	−0.0006	0.1535	−0.0295	0.0135

Note: An aggregate dummy variable of Chinese macroeconomic announcements is created to explore overall impact other than individual

effects on the day of announcement (D), a day before the announcement D(−1) and a day after the announcement D(1).

*, **, *** represent the level of significance at 10, 5, and 1% respectively.

Table 7. EUR/CNY, spread, EUVIX, VXFXI & Euro announcements

	DLEUR_CNY	DLEUR_SPREAD	DLEUVIX	DLVXFXI
DLEUR_CNY(−1)	−0.0100	0.5937	−0.0045	−0.2404
DLEUR_CNY(−2)	−0.0035	0.7821	0.2323	0.0932
DLEUR_SPREAD(−1)	−0.0001	−0.5220***	0.0028	−0.0004
DLEUR_SPREAD(−2)	0.0003	−0.2408***	0.0008	−0.0020
DLEUVIX(−1)	−0.0101***	−0.0527	−0.1656***	0.0523**
DLEUVIX(−2)	−0.0013	−0.2481	−0.0677***	0.0250
DLVXFXI(−1)	−0.0052**	0.4377	0.1072***	−0.0067
DLVXFXI(−2)	0.0046*	−0.0938	0.0144	0.0003
C	−0.0094	0.8861	0.1026	0.1114
D	−0.0029	−1.5598	−0.2672	−0.3446
D(−1)	−0.0493**	2.5576	0.2312	0.3725
D(1)	−0.0300	0.3545	0.2830	0.2582
Budget Balance	−0.0356	−8.0196	0.7330	0.1386
Consumer Confidence	−0.0176	−7.1607	−0.0317	−0.6350
CPI (YOY)	−0.0395	−1.0004	−0.0161	0.6468*
Current Account Balance	0.0541	15.389**	−0.8862	0.2377
Factory Orders (YOY)	−0.0378	−6.4974	−0.6013	0.1505
GDP (QOQ)	0.1026	7.2183	0.1552	−0.4918
Consumer Confidence	0.0891	−5.9303	0.1492	−0.4506
Industrial Production	−0.0494	3.4506	−1.6131**	−0.1249
Non-Farm Payrolls	−0.0790	−6.9513	−0.2773	0.1525
PPI (YOY)	−0.0024	−11.981*	1.2121*	0.0343
Retail Sales (YOY)	0.0070	−2.5970	−0.7436	−0.6236
Trade Balance	−0.0653	−3.4437	−1.1343*	−0.2818
Exports (MOM)	−0.0100	0.5937	−0.0045	−0.2404
R-squared	−0.0035	0.7821	0.2323	0.0932

Note: An aggregate dummy variable of Euro area macroeconomic announcements is created to explore overall impact other than individual effects on the day of announcement (D), a day before the announcement D(−1) and a day after the announcement D(1).

*, **, *** represent the level of significance at 10, 5, and 1% respectively.

Table 8. EUR/CNY, spread, EUVIX, VXFXI & Chinese announcements

	DLEUR_CNY	DLEUR_SPREAD	DLEUVIX	DLVXFXI
DLEUR_CNY(−1)	−0.0102	0.6800	0.0016	−0.2520
DLEUR_CNY(−2)	−0.0034	0.5903	0.2260	0.1059
DLEUR_SPREAD(−1)	−0.0001	−0.5204***	0.0027	−0.0007
DLEUR_SPREAD(−2)	0.0003	−0.2377***	0.0008	−0.0020
DLEUVIX(−1)	−0.0103***	−0.0293	−0.1635***	0.0529**
DLEUVIX(−2)	−0.0013	−0.2775	−0.0594**	0.0282
DLVXFXI(−1)	−0.0055**	0.3984	0.1015***	−0.0106
DLVXFXI(−2)	0.0045*	−0.1045	0.0128	−0.0020
C	0.0045	0.7449	−0.0364	−0.0181
D	−0.0363	−2.8390	−0.0177	0.0555
D(−1)	−0.0223	0.6977	0.6163**	−0.3744
D(1)	0.0015	−3.2610	−0.1047	−0.0822
Balance of Trade	−0.1635***	−2.5355	−0.7511	0.3878
Foreign Direct Investment	0.0186	−1.1492	0.2055	−0.7732
Foreign Reserves	−0.0312	−0.9814	−0.2676	0.4980
GDP (YOY)	0.0305	0.3880	0.3795	−2.3801**
Activity Index	0.0468	5.4562	−0.0220	−0.0075
Leading Index	−0.0831	−13.515*	0.4592	0.5593
Money Supply	−0.0911	43.6859	0.9624	−0.5335
Manufacturing Index	−0.0740	1.6532	−0.5065	0.7962
New Year Loans	0.0802	−48.489*	−0.8793	0.3539
Price Index	−0.0582	−0.4096	0.7994	0.0498
Non-Manufacturing Index	−0.0740	1.6532	−0.5065	0.7962
R-squared	0.0247	0.2287	0.0309	0.0125
.

Note: An aggregate dummy variable of Chinese macroeconomic announcements is created to explore overall impact other than individual effects on the day of announcement (D), a day before the announcement D(−1) and a day after the announcement D(1).

*, **, *** represent the level of significance at 10, 5, and 1% respectively

Table 9. JPY/CNY, spread, JYVIX, VXFXI & Japanese announcements

	DLJPY_CNY	DLJPY_SPREAD	DLJYVIX	DLVXFXI
DLJPY_CNY(−1)	−0.0024	1.4699	−0.4022**	−0.1510
DLJPY_CNY(−2)	−0.0240	−0.6260	0.0238	−0.1323
DLJPY_CNY(−3)	0.0154	3.3680	0.0426	−0.1081
DLJPY_CNY(−4)	0.0261	1.3532	−0.0805	0.2824
DLJPY_CNY(−5)	0.0113	1.6051	−0.1845	−0.0039
DLJPY_SPREAD(−1)	0.0001	−0.5590***	0.0013	0.0035*
DLJPY_SPREAD(−2)	0.0000	−0.4640***	0.0030	0.0002
DLJPY_SPREAD(−3)	0.0000	−0.3375***	0.0074***	0.0034
DLJPY_SPREAD(−4)	0.0000	−0.3084***	0.0065***	0.0016
DLJPY_SPREAD(−5)	−0.0003	−0.1644***	0.0031	−0.0013
DLJYVIX(−1)	−0.0003	0.1192	−0.0855***	0.0293
DLJYVIX(−2)	−0.0051	−0.2925	−0.0877***	−0.0047
DLJYVIX(−3)	−0.0025	−0.1052	−0.1159***	−0.0496*
DLJYVIX(−4)	−0.0044	−0.3238	−0.0442*	−0.0008
DLJYVIX(−5)	−0.0063**	−0.3774	−0.0477**	−0.0466*
DLVXFXI(−1)	0.0065**	0.0840	0.1458***	−0.0072
DLVXFXI(−2)	0.0031	0.1809	0.0546**	0.0113
DLVXFXI(−3)	0.0007	−0.3197	0.0237	−0.0386
DLVXFXI(−4)	−0.0034	0.5371*	−0.0106	−0.0747***
DLVXFXI(−5)	0.0032	0.1778	−0.0041	−0.0098
C	−0.0203	−1.8038	0.0557	−0.0028
D	0.0029	1.8184	0.2230	0.1376
D(−1)	−0.0224	0.9860	0.5027**	0.2409
D(1)	−0.0342	−3.5463	0.5214**	−0.0922
Current Account Balance	0.0786	16.775**	0.1401	1.411**
Capacity Utilization (MOM)	−0.0444	32.806***	0.0024	−0.2007
Construction Orders	−0.1644	7.3877	−0.6073	−1.1887
Consumer Confidence Index	0.0693	−16.267***	0.5652	−0.7160
Exports (YOY)	−0.0382	6.0435	0.1105	−0.2075
GDP Annualized (QOQ)	−0.1734**	−0.5844	0.0525	−1.4331**
Industrial Production	0.1341	−16.782*	−0.0348	0.4956
Leading Index	0.0351	1.3394	−0.3337	0.4879
Monetary Base (YOY)	0.0031	−1.3222	−0.3080	0.2449
CPI (YOY)	0.0024	30.931***	−0.7776	−0.1972
Official Reserve Assets	−0.0476	2.5508	−0.5812	−0.3416
Overall Household Spending	−0.0666	4.7533	−1.0323*	−0.4617
PPI (YOY)	0.1171*	−12.3610*	0.8042	0.5489
Retail Trade	−0.0058	−8.6180	0.1173	0.7886
Trade Balance	−0.0359	3.6396	0.1461	−0.0936
R-squared	0.0169	0.2884	0.0559	0.0301

Note: An aggregate dummy variable of Japanese macroeconomic announcements is created to explore overall impact other than individual effects on the day of announcement (D), a day before the announcement D(−1) and a day after the announcement D(1).

*, **, *** represent the level of significance at 10, 5, and 1% respectively.

Table 10. JPY/CNY, spread, JYVIX, VXFXI & Chinese announcements

	DLJPY_CNY	DLJPY_SPREAD	DLJYVIX	DLVXFXI
DLJPY_CNY(−1)	−0.0022	1.5289	−0.3792**	−0.1467
DLJPY_CNY(−2)	−0.0234	−0.9277	0.0430	−0.1489
DLJPY_CNY(−3)	0.0159	3.2828	0.0298	−0.1091
DLJPY_CNY(−4)	0.0225	2.0748	−0.0930	0.2704
DLJPY_CNY(−5)	0.0133	2.0854	−0.1920	−0.0018
DLJPY_SPREAD(−1)	0.0001	−0.55754***	0.0016	0.0033*
DLJPY_SPREAD(−2)	−0.0001	−0.4671***	0.0033	0.0000
DLJPY_SPREAD(−3)	0.0000	−0.3421***	0.0078***	0.0033
DLJPY_SPREAD(−4)	0.0000	−0.3127***	0.0068***	0.0014
DLJPY_SPREAD(−5)	−0.0003	−0.1635***	0.0030	−0.0015
DLJYVIX(−1)	−0.0003	0.1696	−0.0862***	0.0318
DLJYVIX(−2)	−0.0053*	−0.2500	−0.0887***	−0.0071
DLJYVIX(−3)	−0.0027	−0.1198	−0.1178***	−0.0504**
DLJYVIX(−4)	−0.0045	−0.3534	−0.0434*	−0.0015
DLJYVIX(−5)	−0.0064**	−0.3360	−0.0504**	−0.0458*
DLVXFXI(−1)	0.0067**	−0.0386	0.1444***	−0.0112
DLVXFXI(−2)	0.0032	0.1397	0.0598**	0.0120
DLVXFXI(−3)	0.0009	−0.3634	0.0267	−0.0363
DLVXFXI(−4)	−0.0030	0.6021**	−0.0137	−0.0763***
DLVXFXI(−5)	0.0032	0.0698	0.0010	−0.0108
C	−0.0058	0.1033	−0.0829	0.0900
D	0.0095	−0.2301	0.0903	0.0872
D(−1)	−0.0376	2.0391	0.2656	−0.3789
D(1)	−0.0133	−1.2449	−0.1753	−0.0960
Balance of Trade	0.01514	4.4382	−0.7226	0.2927
Foreign Direct Investment	−0.0758	−2.5898	0.4142	−0.6161
Foreign Reserves	0.0604	−10.084	0.4778	0.6998
GDP (YOY)	0.0008	3.6758	−0.3384	−2.2933**
Leading Index	−0.0150	−20.036***	0.02425	0.6344
Money Supply	0.1577	24.3901	0.4111	0.1033
Manufacturing Index	−0.0675	−0.8430	0.2035	0.8142
New Year Loans	−0.0455	−22.197	0.0419	−0.2156
Non-Manufacturing Index	−0.0712	−1.2089	0.1955	0.8355
Activity Index	0.0270	12.379*	−0.3369	−1.0127*
Price Index	−0.0190	4.5560	0.9330*	0.13319
R-squared	0.0152	0.2785	0.0548	0.0293

Note: An aggregate dummy variable of Chinese macroeconomic announcements is created to explore overall impact other than individual effects on the day of announcement (D), a day before the announcement D(−1) and a day after the announcement D(1).

*, **, *** represent the level of significance at 10, 5, and 1% respectively.

Table

Author (s)	Journal	Year	Objective	Model	Results
Xiangsheng Dou	Cogent Economics & Finance	2018	This study examine the determinants of China’s money demand.	SVAR model	China’s money demand is mainly decided by income, interest rate and expected inflation rate.
David Vines and Samuel Wills	Oxford Review of Economic Policy	2018	The objective is to rebuild a macroeconomic theory project covered under analytical assessment.	New Keynesian model	They documented that the behavioral equations in the model governing consumption, investment, and price setting, and also the insertion of a wedge between the interest rate set by policy-makers and that facing consumers and investors.
Hirshleifer, D., & Sheng, J	Journal of Financial Economics	2021	How the arrival of macro-news affects the stock market’s ability to incorporate the information in firm-level earnings announcements.	Regression Analysis	The sensitivity of announcement returns to earnings news is 17% stronger, and post-earnings announcement drift 71% weaker, on macro-news days.
Du, B., Fung, S., & Loveland, R.	Journal of Banking & Finance	2018	Informational role of equity options trading around Federal Open Market Committee (FOMC) announcements.	Regression Analysis	Information contained in option trades prior to FOMC rate change announcements predicts bank stock returns to a greater degree than does volatility spread prior to non-meeting days.
George J. Jiang, Guanzhong Pan	Journal of Futures Markets	2022	Examine the speculation or hedging under the scope of Options trading prior to FOMC announcements.	Regression Analysis	Informed traders use options to speculate on their private information for the upcoming FOMC announcements.
Jelena Eberbach, Marliese Uhrig-Homburg, Xiaoxiao Yu		2021	Identifying the information Processing in the Option Market around Earnings and Macroeconomic Announcements.	Regression Analysis	Earnings announcements coincide with macro releases, sophisticated option investors process private information more effectively.
Abolaji Daniel Anifowose & Izlin Ismail & Mohd Edil Abd Sukor,	Global Business Review	2018	The objective is to examine the currency Order Flow and Exchange Rate Determination under the scope of Empirical Evidence from the Malaysian Foreign Exchange Market.	Vector Autoregressive (VAR)	Currency order flow explains an important portion of the movements in the MYR†USD exchange rate.
Andersen, T. G., & Bollerslev, T.	Journal of Finance	1998	Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies.	GARCH (1,1)	They documented an intraday volatility pattern is dominant.
Balduzzi, P., Elton, E. J., & Green, T. C.	Journal of Financial and Quantitative Analysis	2001	This Paper uses intraday data from the interdealer government bond market to investigate the effects of scheduled macroeconomic announcements on prices, trading volume, and bid-ask spreads.	Regression Analysis	They find that 17 public news releases, as measured by the surprise in the announced quantity, have a significant impact on the price.
Bauwens, L., Omrane, W. B., & Giot, P.	Journal of International Money and Finance	2005	Examine the news announcements, market activity and volatility in the euro/dollar FX market.	GARCH Model	Volatility increases in the pre-announcement periods, particularly before scheduled events.
Ishfaq, M., Qiong, Z. B., & Abbas, G.	Mediterranean Journal of Social Sciences	2018	Examines the intertemporal association between CBOE market volatility indices (VIX), foreign exchange rates and respective bid-ask spread for four CNY exchange rate parities.	EGARCH (1,1)	Results report that negative slopes of EUVIX, BPVIX, and JYVIX imply a higher level of volatility, hence improves the underlying exchange rate through appreciation, while positive slopes of VXFXI deteriorates exchange rates during the sample period.
Boothe, P.	Economic Inquiry	1998	Documented the exchange rate risk and the bid-ask spread: A seven country comparison.	Regression Analysis	It provides empirical support for the theoretical prediction of a positive relationship between the level of uncertainty regarding future prices and current transaction costs.
Chen, Y., & Gau, Y.-F.	Annual Conference of Taiwan Finance Association	2009	Impacts of News Announcements to Order Flow and Price Discovery in the Foreign Exchange Market.	Regression Analysis	They concluded a significant impact of news announcement on oredr flow and price discovery.
Munazza Jabeen, Abdul Rashid	Global Journal of Emerging Market Economies	2021	This article studies the effects of macroeconomic news announcements and order flow on exchange rates in Pakistan by considering both direct and indirect information channels during news announcements periods.	GARCH	The findings reveal that macroeconomic news directly, and indirectly affect Pak Rupee exchange rates. The results also show that the order flow drives fluctuations in Pak Rupee exchange rates indicating the role of trade signals and trading strategies of currency traders in the exchange rate determination.
Cairns, J., Ho, C., & McCauley, R.	BIS Quarterly Review	2007	Examine the exchange rates and global volatility under the implications for Asia-Pacific currencies.	Regression Analysis	They concluded that at times of heightened global equity and bond market volatility, high-yielding currencies tend to depreciate while low-yielding ones tend to serve as a “safe haven”.
Yu-Lun Chen,Yin-Feng Gau	The Journal of Futures Markets	2022	Identifying the important role played by order flow in price discovery and in intermediating the exchange-rate reactions to macroeconomic news.	VAR	After considering the order flows of futures and spot markets, the futures market dominates price discovery when compared with the spot market, confirming that order flows have a permanent impact on prices, even more so in futures markets.
Ederington, L. H., & Lee, J. H.	Journal of Financial and Quantitative Analysis	1996	This study attempts to examine the scheduled macroeconomic announcement effects on the India VIX.	OLS and the EGARCH model	The information content of macroeconomic news on report day and day after does not have significant influences on India VIX, except MCIR.
Evans, M. D. D., & Lyons, R. K.	Journal of International Money and Finance	2002	The importance of information conveyed by order flow in major currencies for pricing minor currencies.	Regression Analysis	The model explains 45 to 78 percent of daily returns in all nine currencies. Moreover, its prediction that order flow in individual markets should be relevant for determining prices in other markets is borne out.
Evans, M. D. D., & Lyons, R. K.	Journal of Political Economy	2002	Documented the order Flow and Exchange Rate Dynamics.	Regression Analysis	The model of daily deutsche mark/dollar log changes produces an R2 statistic above 60 percent. For the deutsche mark/dollar spot market as a whole, we find that $1 billion of net dollar purchases increases the deutsche mark price of a dollar by 0.5 percent.