Cheung, Stephen Yan LeungStephen Yan LeungCheungCai, J.Lee, R. S. K.Melvin, M.2025-11-172025-11-172001https://repository.sfu.edu.hk/handle/sfu/5152The dramatic yen/dollar volatility of 1998 has been popularly ascribed to order flow driven by changing tastes for risk and hedge-fund herding on unwinding yen ‘carry trade’ positions rather than fundamentals. High-frequency evidence of shifting fundamentals is provided by a comprehensive list of macroeconomic announcements. News is found to have significant effects on volatility, but order flow may play a more important role. Since portfolio shifts are revealed to the market through trading, the results are consistent with order flow playing a significant role in the revelation of private information and associated exchange rate shifts.enjournal article10.1016/S0261-5606(00)00056-5