Blenman, Lloyd P.; Chen, Dar-Hsin; Chen, Chun-Da - 2010
was found that trading in the spot currency market was impacted by volatility in the daily Won/USD rates. As the daily … unexpected range expanded (narrowed), daily spot trading volume and volatility increased (decreased). This is evidence of … spot positions by trading USD futures as a response to unexpected volatility changes of the exchange rate. There is …