were not present. For the AUD and JPY, we find that carry trades were more likely with low volatility and volume …

were not present. For the AUD and JPY, we find that carry trades were more likely with low volatility and volume …

-targeting trade; and a larger return-to-volatility ratio than the Australian and New Zealand dollars – the most common carry targets … volatility however, is likely to increase its allure as a carry target …

negative, but, during the Covid-19 pandemic, the carry trade is the main net transmitter of volatility to all markets. Our …

losses, which is consistent with the unwinding of the carry trade in times of high volatility. The decomposition of market …

In this paper, we analyse the relationship between the currency carry return and volatility and liquidity risk factors … outperformance for volatility ones especially the global FX volatility risk factor. Consistent with the poor performance of currency … carry trades during high FX volatility regime, we also show that the well-established negative slope coefficient in the Fama …

The purpose of this study is to examine the role of options volatility and bid-ask spread as microstructural variables … characteristics of market participants appear to trump macroeconomic considerations. The volatility indices and bid-ask spreads were … exchange rates. The forex returns, bid-ask spread, and volatility indices demonstrated less vulnerability towards Chinese …

popular investment strategy, underpinned by low exchange rate volatility and persistent interest rate differentials. In this … paper, I investigate the role that exchange rate volatility plays in the failure of UIP and hence in the build-up of yen … presence of carry trade activities. Moreover, it is confirmed that both an increase in exchange rate volatility and a decrease …