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Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets

Froot, Kenneth - 2004

Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds...

Persistent link: https://www.econbiz.de/10012786275

Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market

Engle, Robert F. - 2010

. Assuming that news has only country specific autocorrelation such as a heat wave. any intra-daily volatility spillovers (meteor …. Using a volatility type of vector autoregression we examine the impact of news in one market on the time path of volatility …

Persistent link: https://www.econbiz.de/10012762800

Study on Return and Volatility Spillover Effects Among Stock, CDS, and Foreign Exchange Markets in Korea

I, Taly - 2016

The key objective of this study is to investigate the return and volatility spillover effects among stock market … trivariate VAR BEKK GARCH (1,1) model, the study finds that there are significant return and volatility spillover effects between … and the US stock market to the Korean stock market, and the volatility spillover effect from the Japanese stock market to …

Persistent link: https://www.econbiz.de/10013003256

Contagion across financial markets during COVID-19 : a look at volatility spillovers between the stock and foreign exchange markets in South Africa

Van Der Westhuizen, Chevaughn; Van Eyden, Reneé; Aye, … - In: Annals of financial economics 17 (2022) 1, pp. 1-46

Persistent link: https://www.econbiz.de/10013189116

The frequency of one-day abnormal returns and price fluctuations in the FOREX

Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - In: Journal of applied economics 24 (2021) 1, pp. 401-415

This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX over the period 1994-2019. The following hypotheses are tested: frequency of abnormal returns is asignificant driver of price movements (H1); it does not exhibit seasonal patterns (H2); it is stable over...

Persistent link: https://www.econbiz.de/10013174306

The effects of asset price volatility on market participation : Evidence from the Thai foreign exchange market

Jakree Koosakul; Shim, Ilhyock - In: Journal of banking & finance 124 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012816601

Asymmetric volatility spillover between European equity and foreign exchange markets : evidence from the frequency domain

Warshaw, Evan - In: International review of economics & finance : IREF 68 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012486281

Study on return and volatility spillover effects among stock, CDS, and foreign exchange markets in Korea

I, Taly - In: Journal of East Asian economic integration 19 (2015) 3, pp. 275-322

Persistent link: https://www.econbiz.de/10011572873

Volatility spillovers between foreing-exchange and stock markets

Morales Zumaquero, Amalia; Sosvilla-Rivero, Simón - 2017

Persistent link: https://www.econbiz.de/10011716496

Spillover effects between exchange rates and stock prices : evidence from BRICS around the recent global financial crisis

Sui, Lu; Sun, Lijuan - In: Research in international business and finance 36 (2016), pp. 459-471

Persistent link: https://www.econbiz.de/10011594540