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Intraday Forex Trading Based on Sentiment Inflection Points

Hafez, Peter - 2013

In this study we propose a short-term Forex trading strategy that uses the principles of technical analysis to create buy or sell signals based on data derived from fundamental news. Short and long term sentiment inflection points are captured by consulting a set of sentiment indexes that...

Persistent link: https://www.econbiz.de/10013088791

The Relationship between Commodity Price and Currency Exchange Rate : Evidence from the Futures Markets

Chan, Kalok - 2016

We examine relationships among currency and commodity futures markets based on four commodity exporting countries' currency futures returns and a range of index based commodity futures returns. These four commodity linked currencies are the Australian dollar, Canadian dollar, New Zealand dollar,...

Persistent link: https://www.econbiz.de/10012995386

Estimating a Latent Risk Premium in Exchange Rate Futures

Bernoth, Kerstin - 2018

Using exchange rates futures instead of forwards completes the maturity spectrum of the correlation between the spot return and the premium. The correlation decreases with increasing maturity, presumably due to a latent risk premium. We hypothesize that the influence of the unobserved risk...

Persistent link: https://www.econbiz.de/10012918977

Estimating a latent risk premium in exchange rate futures

Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2018

Persistent link: https://www.econbiz.de/10011843349

Structural simultaneous volatility systems : volatility transmission and spillover effects

Gannon, Gerard L. - 1997

Persistent link: https://www.econbiz.de/10000964264

Exchange rate comovements, hedging and volatility spillovers on new EU forex markets

Kočenda, Evžen; Moravcová, Michala - In: Journal of international financial markets, … 58 (2019), pp. 42-64

Persistent link: https://www.econbiz.de/10012127823

Testing for financial spillovers in calm and turbulent periods

Aliyu, Shehu U. R.; Abdulsalam, Nafiu B.; Bawa, Sani - In: West African journal of monetary and economic integration 18 (2018) 2, pp. 1-27

It has been established in the literature that volatility of stock returns exhibits complex properties of not only … volatility clustering, but also long memory, regime change, and substantial outliers during turbulent and calm periods. Hence …, this paper seeks to analyze volatility spillover, co-movements, independence and contagion in the Chinese, Japanese …

Persistent link: https://www.econbiz.de/10013348418

Spillovers of cum-ex and cum-cum trading with single stock futures

Laturnus, Valerie; Reichel, Arne; Wahrenburg, Mark - 2021

as volume, volatility and institutional ownership. Ex-day price drops are largely unaffected by changes in investors' tax …

Persistent link: https://www.econbiz.de/10013212009

Information Spillovers in the Spot and ETF Indices in Taiwan

Wang, Chien-Cheng - 2010

indicate that the ETF 52 index has the greatest volatility as well as the most negative returns, whilst also suggesting the …

Persistent link: https://www.econbiz.de/10013147692

Net buying pressure and informed trading in the options market : evidence from earnings announcements

Badshah, Ihsan Ullah; Koerniadi, Hardjo - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-9

trading around quarterly earnings announcements is either directionally motivated and/or volatility motivated. We found … volatility-motivated option trading, and our results suggest that this type of option trading could be motivated by hedging …

Persistent link: https://www.econbiz.de/10012818141