JPMorgan Chase Institute

Financial Markets

Financial Markets report cover

FX Markets Move on Surprise News

Institutional Investor Trading Behavior around Brexit, the US Election, and the Swiss Franc Floor

This JPMorgan Chase Institute report is our first study based on a new, proprietary data asset composed of institutional investor transactions. We explore trading around three recent events that led to the largest one-day moves in the relevant currencies in the last 20 years: the Brexit referendum, the 2016 presidential election, and the decision by the Swiss National Bank (SNB) to remove the Swiss Franc floor. The granularity of our transaction data allows us to provide an inside look at the trading behavior of various types of institutional investors during these three major market events and spotlight which investor sectors transferred risk during the price discovery process and which sectors waited until exchange rates had stabilized to transfer risk.

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Swiss Franc

Does the Timing of Central Bank Announcements Matter?

Trade-Level Data on Hedge Fund Behavior Before Swiss National Bank Meetings

This follow-up report builds on FX Markets Move on Surprise News: Institutional Investor Trading Behavior around Brexit, the US Election, and the Swiss Franc Floor, focusing on hedge fund trading during the Swiss National Bank’s (SNB) Minimum Exchange Rate policy period. The report leverages a data asset of 395 million de-identified transactions executed by over 44,000 institutional investors to measure hedge fund net flows in EUR/CHF spot and forward transactions during the SNB’s Minimum Exchange Rate policy period. The granularity of our data asset allows us to explore hedge fund trading behavior during this major market event and ultimately highlight implications for central banks as they consider how their choices with respect to communicating policy changes might impact financial market stability.

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Data Visualizations

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Swiss Franc Floor

January 15th, 2015

At 9:30AM GMT, the Swiss National Bank (SNB) abandoned its floor on the EUR/CHF exchange rate via a surprise press release. The announcement shocked the market—EUR/CHF dropped 12.3 percent. See the institutional investor reaction here.

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Brexit

June 23rd, 2016

See how various types of institutional investors reacted after UK voters surprised the world by voting to “Leave” the European Union, causing GBP/USD to drop 11 percent overnight.

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US Election

November 8th, 2016

Before the election, forecasters widely expected Hillary Clinton to win. See how institutional investors behaved as early returns from swing states pointed to an unexpected Trump victory.

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