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Information content of exchange rate volatiliy : Turkish experience
Saatcioglu, Cem; Korap, H. Levent; Volkan, Ara G. - In: International business and economics research journal 6 (2007) 4, pp. 9-14
Persistent link: https://www.econbiz.de/10003486881
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High Frequency Information Content in End-User Foreign Exchange Order Flows
Marsh, Ian W. - 2011
This paper considers the impact of foreign exchange order flows on contemporaneous and future stock market returns using a new database of customer order flows in the €-$ exchange rate market as seen by a leading European bank. We do not find clear contemporaneous relationships between FX...
Persistent link: https://www.econbiz.de/10013125789
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The informational content of implied volatility : application to the USD/JPY exchange rates
Peng, Qing; Li, Jie; Zhao, Yu; Han, Wu - In: Journal of Asian economics 76 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10013276004
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Does currency smirk predict foreign exchange return?
Hoque, Ariful; Le, Thi; Hassan, Kamrul - In: Investment management and financial innovations 17 (2020) 3, pp. 219-230
Persistent link: https://www.econbiz.de/10012406053
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The information content of risk reversals in emerging market currencies
Costa Filho, Adonias Evaristo da - In: Revista Brasileira de Finanças : RBFin 14 (2016) 3, pp. 403-441
Persistent link: https://www.econbiz.de/10011654252
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Detection of Earnings Management as a Measure of Income Smoothing on Fluctuations in Exchange Rates : Managerial Implications for Korean Exporters
Ji, Sang Hyun - 2020
fluctuation in sales caused by an exchange rate fluctuation has a direct impact on the volatility of the reported income. Second …
Persistent link: https://www.econbiz.de/10012844702
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Foreign currency financial reporting from Euro to Yen to Yuan : a guide to fundamental concepts and practical applications
Rowan, Robert J. - 2011
Persistent link: https://www.econbiz.de/10008990186
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Day-of-the-week anomaly : an illusion or a reality? ; evidence from Naira/Dollar exchange rates
Osabuohien-Irabor, Osarumwense - In: CBN journal of applied statistics 7 (2016) 1, pp. 311-332
), its volatility as well as the asymmetric effects, for the period of 12th May 2009 to 12th June, 2015. The empirical …-of-theweek effect is influenced by the choice of the volatility model applied. Similarly, the highest or lowest volatility market day …
Persistent link: https://www.econbiz.de/10011535278
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Exchange rate influences on stock market returns and volatility dynamics : empirical evidence from the Australian stock market
Karunanayake, Indika - In: Review of applied economics 10 (2014) 1/2, pp. 83-97
Persistent link: https://www.econbiz.de/10010506487
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Market, interest rate, and exchange rate risk effects on financial stock returns during the financial crisis : AGARCH-M approach
Mouna, Aloui; Anis, Jarboui - In: Cogent economics & finance 4 (2016) 1, pp. 1-16
-variate GARCH-in-mean model and volatility spillovers. The empirical results show the significant effects (positive and negative …, respectively) of the stock market returns, interest rate, and exchange rate volatility of the financial sector during the crisis …. Besides, we find, in most cases, significant (positive and negative, respectively) volatility spillovers from market return …
Persistent link: https://www.econbiz.de/10011450341