JPMorgan Chase Institute

Financial Markets

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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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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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