Narrow search
Showing 1 - 10 of 18,529
Cover Image
How does trading volume affect financial return distributions?
Do, Hung Xuan; Brooks, Robert; Treepongkaruna, Sirimon; … - In: International Review of Financial Analysis 35 (2014) C, pp. 190-206
trading volume and the higher moments of returns in 18 international equity and currency markets. Our volume-volatility … volatility. We also find that the direct impact of volume on the level of negative skewness is less significant for more …
Persistent link: https://www.econbiz.de/10011077782
Cover Image
Joint dynamics of foreign exchange and stock markets in emerging Europe
Ülkü, Numan; Demirci, Ebru - In: Journal of International Financial Markets, … 22 (2012) 1, pp. 55-86
This paper proposes an ideal specification for studying joint dynamics of emerging stock and foreign exchange markets, and applies it on European emerging markets where this interaction is of particular significance due to large external deficits. Results show that global developed and emerging...
Persistent link: https://www.econbiz.de/10011041487
Cover Image
The intraday effects of central bank intervention on exchange rate spreads
Fatum, Rasmus; Pedersen, Jesper; Sørensen, Peter Norman - In: Journal of International Money and Finance 33 (2013) C, pp. 103-117
We investigate the intraday effects of intra-marginal intervention in a horizontal band on the exchange rate spread. Official intraday data on Danish intervention transactions in the ERM II, the Exchange Rate Mechanism of the European Union, facilitates our analysis. We show that intervention...
Persistent link: https://www.econbiz.de/10011048538
Cover Image
Asymmetries and state dependence: The impact of macro surprises on intraday exchange rates
Fatum, Rasmus; Hutchison, Michael; Wu, Thomas - In: Journal of the Japanese and International Economies 26 (2012) 4, pp. 542-560
This paper investigates the possible asymmetric response of 5-min intraday JPY/USD exchange rates to macroeconomic news announcements during 1999–2006 when the Japanese money market interest rate was effectively zero. This period provides a unique institutional setting when interest rates may...
Persistent link: https://www.econbiz.de/10011049607
Cover Image
How does sovereign bond market integration relate to fundamentals and CDS spreads?
Chaieb, Ines; Errunza, Vihang R.; Gibson, Rajna - 2016
We find that the degree and dynamics of sovereign bond market integration across 21 developed and 18 emerging countries is significantly heterogeneous. We show that better spanning can significantly enhance market integration through dissipating local risk premiums. Integration of the sovereign...
Persistent link: https://www.econbiz.de/10011618981
Cover Image
Financial crises and dynamic linkages among international currencies
Dimitriou, Dimitrios; Kenourgios, Dimitris - In: Journal of International Financial Markets, … 26 (2013) C, pp. 319-332
This paper investigates the interdependence of US dollar exchange rates expressed in other major currencies. Focusing on different phases of the Global financial crisis (GFC) and the Eurozone Sovereign Debt Crisis (ESDC), we adopt a dynamic conditional correlation model into a multivariate...
Persistent link: https://www.econbiz.de/10010702762
Cover Image
Identifying speculators in the FX market: A microstructure approach
Schreiber, Ben Z. - In: Journal of Economics and Business 73 (2014) C, pp. 97-119
This paper suggests a methodology for identifying speculators in FX (foreign exchange) markets. A player is identified as a speculator only if his speculative characteristics are extreme compared with those of other players and his influence on exchange rates on outlying days is significant....
Persistent link: https://www.econbiz.de/10010777157
Cover Image
Who Does a Currency Transaction Tax Harm More: Short-Term Speculators or Long-Term Investors?
Demary, Markus - In: Journal of Economics and Statistics (Jahrbuecher fuer … 228 (2008) 2+3, pp. 228-250
model framework we study the effects of currency transaction taxes on exchange rate volatility and traders’ behavior …
Persistent link: https://www.econbiz.de/10008596549
Cover Image
Carry Trades and Global Foreign Exchange Volatility
Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; … - C.E.P.R. Discussion Papers - 2011
We investigate the relation between global foreign exchange (FX) volatility risk and the cross-section of excess … FX volatility and thus deliver low returns in times of unexpected high volatility, when low interest rate currencies … provide a hedge by yielding positive returns. Our proxy for global FX volatility risk captures more than 90% of the cross …
Persistent link: https://www.econbiz.de/10008867494
Cover Image
The intra-day impact of communication on euro-dollar volatility and jumps
Dewachter, Hans; Erdemlioglu, Deniz; Gnabo, Jean-Yves; … - In: Journal of International Money and Finance 43 (2014) C, pp. 131-154
two measures: continuous volatility and discontinuous jumps. Focusing on the euro-dollar exchange rate, we provide …. Continuous volatility starts reacting prior to the news, intensifies around the release time and stays at high levels for several … volatility are mostly driven by the communication of the Euro area officials rather than US authorities. …
Persistent link: https://www.econbiz.de/10010753308