In this appendix, we present more detailed results regarding the construction of the Thomson Reuters NewsScope Event Indices. In Sections 3.A.1 and 3.A.2, we present some basic empirical properties of foreign exchange quote data and the Thomson Reuters NewsScope Archive, respectively. Section 3.A.3 contains Monte Carlo simulations of the empirical distribution of the t-statistic for the event studies of Section 3.5, under the null hypothesis of randomly chosen event times.
Our 4-year extract of foreign exchange spot data from the Thomson Reuters DataScope Tick History consists of interbank quotes for 45 currency pairs from January 1, 2003 to March 31, 2007. For each quote, the following fields are available: RIC (Reuters Identification Code, which specifies the currency pair), Date, Time, GMT Offset, Type, Ex/Cntrb. ID, Bid Price, Bid Size, Ask Price, and Ask Size. There are, in fact, many more fields than these, but we focus only on these pricing fields in our current analysis. A description of the contents of each field is given by the Reuters DataScope Tick History document.
For 17 major currency pairs the spot prices were extracted, and we retained only Date, Time Stamp, Ask Price, Ask Volume, Bid Price, Bid Volume, and Source (bank). Note that there may be a few missing values in these data, but each line does have, at the very least, an Ask Price.
Note that the time stamps for quotes are typically specified in Greenwich ...