We examine whether country fundamentals help explain the cross-section of currency excess returns. For this purpose, we consider fundamental variables such as default risk, foreign exchange rate regime, capital control as well as interest rate in the multi-factor model framework. Our empirical...

This paper examines exchange rate exposure of country level stock returns in three emerging market economies: Korea, Taiwan and Thailand. The analysis is carried out at country level using stock indexes and trade-weighted exchange rates. Time-varying exchange rate exposure coefficients are...

External imbalance is a central variable in international economics and recent research shows it is priced in currency portfolios. But Ang et al. (2017), among others, show that with a small and time-varying cross section, tests with individual assets are preferable. We find testing with...

We study empirically the relation between currency excess returns and macro uncertainty, measured as forecast dispersion, on a wide set of economic indicators. We find that investment currencies deliver low returns whereas funding currencies offer a hedge when current account uncertainty is...

We study the relation between limit order flow, market order flow and returns. We develop a model where market-makers face inventory risk and adverse selection and show how prices depend on market and limit order flows. In the model, market-makers receive information through trade with customers...

Since the beginning of 2020, the effect of COVID-19 on the stock markets in developed and developing countries has been taken the attention of researchers. However, the existing empirical studies mainly focus on the short period. The present study aims to close this hole in the prior studies on...

In this study, we test a set of country macro sentiment indexes that measure the trailing sentiment on both scheduled and unscheduled economic and geopolitical news events. We develop a cross-over strategy in the FX market based on short to long-term news sentiment inflection points covering the...

We test Uncovered Interest Parity (UIP) using LIBOR interest rates for a wide range of maturities. In contrast to other markets, LIBOR markets have minimal frictions which could lead to rejecting UIP. Using panel unit root test suggested by Palm, Smeekes, and Urbain (2010) and cointegration...

We examine time varying integration of developed (DM) and emerging (EM) market government bonds. Although we find an upward trend for most countries and maturity bands, we do observe reversals and negative trends among both DMs and EMs and for some maturities during the financial crisis. We...