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Foreign exchange news announcements and the volatility of stock returns in Nigeria

Omokehinde, Joshua Odutola; Abata, Matthew Adeolu; … - In: Spoudai : journal of economics and business 67 (2017) 3, pp. 3-17

This paper examines the effect of foreign exchange news announcements on the volatility of stock returns in Nigeria … volatility equations. The empirical results revealed a positive and significant effect of exchange news announcements on stock … market volatility in Nigeria under symmetric conditional variance. However, there was strong evidence of asymmetric effect …

Persistent link: https://www.econbiz.de/10011843827

Intraday effect of news on emerging European forex markets : an event study analysis

Kočenda, Evžen; Moravcová, Michala - 2018

We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an event study methodology to analyze intra-day data from 2011-2015. Our...

Persistent link: https://www.econbiz.de/10011902959

Intraday effect of news on emerging European forex markets : an event study analysis

Kočenda, Evžen; Moravcova, Michala - 2016

We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an Event Study Methodology to analyze intra-day data from 2011-2015. Our...

Persistent link: https://www.econbiz.de/10011568576

Impact of macroeconomic surprises on carry trade activity

Hutchison, Michael M.; Sushko, Vladyslav - 2010

This paper investigates market perceptions of the risk of large exchange rate movements by using information gleaned from risk reversal contracts and macroeconomic news surprises. We focus on the height of the carry trade period in Japan (March 2004 through December 2006). Concerns about sharp...

Persistent link: https://www.econbiz.de/10008698328

Impact of Macroeconomic Surprises on Carry Trade Activity

Hutchison, Michael M.; Sushko, Vladyslav - 2011

literature, we are able to identify a significant impact of macroeconomic surprises on foreign exchange volatility of JPY …

Persistent link: https://www.econbiz.de/10014190558

Country News Sentiment Factors Predict Forex Prices

Hafez, Peter - 2013

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...

Persistent link: https://www.econbiz.de/10013081446

High Frequency News in the European Financial Crisis

Chouliaras, Andreas - 2017

and volatility positively. Media pessimism does not only affect the crisis-hit Euro-zone periphery countries, but also …

Persistent link: https://www.econbiz.de/10012972080

Analysis of the Effects of the US Stock Market Returns and Exchange Rate Changes on Emerging Market Economies' Stock Market Volatilities

Kayral, Ihsan Erdem - 2017

In this paper, the effects of the US stock market returns, exchange rate changes and volatilities on stock market volatilities in 10 emerging market economies between 2000-2013 (also two sub-periods covering the time between 2000-2007, and between 2008-2013) have been analysed with separate 30...

Persistent link: https://www.econbiz.de/10012950808

A Scrutiny on Volatility and Leverage Effect in Indian Stock Market with Reference to Gold, Oil, Dollar Rates

M, Aravind - 2018

study period. GARCH (1, 1) model confirmed the long-term persistency of Gold-Oil-Dollar rates over stock market volatility … will enhance the stock market volatility. Further the diagnostic test results shows that the crude oil price fluctuations … reported to have more significant influence on stock market volatility. The study can successfully serve the interest of …

Persistent link: https://www.econbiz.de/10012912795

Oil prices, exchange rates and sectoral stock returns in the BRICS-T countries : a time-varying approach

Caporale, Guglielmo Maria; Catik, A. Nazif; Kışla, … - 2021

This paper analyses the effects of oil prices and exchange rates on sectoral stock returns in the BRICS-T countries over the period from 2 January 2001 to 22 March 2021. After estimating a benchmark linear model, the possible presence of structural breaks is investigated using the Bai and Perron...

Persistent link: https://www.econbiz.de/10012625861