Returns and Volatility Spillovers in the Currency Futures Markets: The Case of the German Mark and the Japanese Yen

2007 ◽  
Author(s):  
Wan Mansor Mahmood
Keyword(s):  
Futures Markets ◽  
Volatility Spillovers ◽  
Currency Futures ◽  
Japanese Yen ◽  
German Mark

An Empirical Study on the Asymmetric Effects of Trading Volume Information in int‘l Currency Futures Markets: Advanced vs Emerging Markets

2012 ◽  
Vol 20 (2) ◽  
pp. 237-264
Author(s):  
Chung-Hyo Hong
Keyword(s):  
Emerging Markets ◽  
Trading Volume ◽  
Futures Markets ◽  
Spillover Effects ◽  
Canadian Dollar ◽  
Strong Impact ◽  
Price Changes ◽  
Empirical Results ◽  
Currency Futures ◽  
Japanese Yen

This paper tested the conditional mean spillover effects between trading volume and price changes in international currency futures markets. We use 8 kinds of currency futures markets such as Japanese yen, British pound, Australian and Canadian dollar as the advanced market and Korean Won/Dollar, Brazilian Real, Russian rubul and South African's land futures as the emerging markets. The sample period is covered from May 19, 2006 to March 15, 2009. For this purpose we employed dynamic time series model such as Nelson (1991)'s Exponential GARCH (1, 1)-M. The major empirical results are as follows; First, according to the empirical results of 4 advanced currency futures markets, we find that the open interests have a strong impact on the price changes at a statistically significant level. In case of the British pound and Canadian dollar futures, the price changes also have influence on the open interests. Second, according to the empirical results of 4 emerging currency futures markets, only Russian currency futures' open interest has an impact on the price change but the price changes of the remain 3 countries have an impact on open interests respectively at a significant level. Third, we also find that there is a asymmetric volatility spillover effects between open interests and price changes in all the advanced and emerging currency futures markets. Fourth, according to Granger causality test the influence of Japanese yen, Australian and Canadian dollar and Brazilian Real futures on the other currency futures markets are dominant. From these empirical results we infer that most of currency futures markets have a much better price discovery function than currency cash market and are inefficient to the information.

US Monetary Policy Surprises and Currency Futures Markets: A New Look

2008 ◽  
Author(s):  
Tao Wang ◽  
Jian Yang ◽  
Marc William Simpson
Keyword(s):  
Monetary Policy ◽  
Futures Markets ◽  
Currency Futures ◽  
Us Monetary Policy ◽  
New Look

Return, Trading Volume, and Market Depth in Currency Futures Markets

2008 ◽  
Author(s):  
Ai-ru Meg Cheng ◽  
Yin-Wong Cheung
Keyword(s):  
Trading Volume ◽  
Futures Markets ◽  
Market Depth ◽  
Currency Futures

Small Traders in Currency Futures Markets Format

2010 ◽  
Author(s):  
Andreas Röthig ◽  
Carl Chiarella
Keyword(s):  
Futures Markets ◽  
Currency Futures ◽  
Small Traders

Price Discovery and Volatility Spillovers in Index Futures Markets: Some Evidence from Mexico

2003 ◽  
Author(s):  
Maosen Zhong ◽  
Ali F. Darrat ◽  
Rafael Otero
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Index Futures ◽  
Volatility Spillovers

scholarly journals Determining Pak Rupee Exchange Rates vis-à-vis Six Currencies of the Industrial World: Some Evidence Based on the Traditional Flow Model

2001 ◽  
Vol 40 (4II) ◽  
pp. 885-897
Author(s):  
Razzaque H. Bhatti
Keyword(s):  
Exchange Rates ◽  
Coefficient Of Variation ◽  
Flow Model ◽  
French Franc ◽  
Swiss Franc ◽  
Test Statistics ◽  
Industrial Countries ◽  
Japanese Yen ◽  
The U.S ◽  
German Mark

Pak-rupee exchange rates vis-à-vis many currencies of the industrial world have weakened continuously and persistently since Pakistan abandoned fixed exchange rates in April 1982. This proposition is strongly supported by descriptive test statistics, as shown in Table 1, such as mean, standard deviation and coefficient of variation of six Pak rupee exchange rates—against the U.S. dollar, British pound, German mark, Japanese yen, Swiss franc and French franc—over the period 1982q1-2000q4. Based on these descriptive statistics, it is evident that Pak rupee has depreciated persistently against all currencies of the industrial countries in question over the period under investigation; for example, it has depreciated by 324.05 percent against the British pound, 406.360 percent against the U.S. dollar, 344.53 percent against the French franc, 498.48 percent against the Swiss franc, 477.78 percent against the German mark and 986.25 percent against the Japanese yen since April 1982. As evidenced by coefficient of variation, Pak rupee has weakened enormously against all currencies of the industrial world, while it has weakened relatively more alarmingly against the Japanese yen, Swiss franc and German mark.

The Impact of Structural Breaks on Volatility Linkages between Asian Stock and Oil Futures Markets

2016 ◽  
Vol 24 (1) ◽  
pp. 31-64
Author(s):  
Sang Hoon Kang ◽  
Seong-Min Yoon
Keyword(s):  
Futures Markets ◽  
Structural Breaks ◽  
Global Financial Crisis ◽  
Garch Model ◽  
Time Varying ◽  
Oil Futures ◽  
Volatility Spillovers ◽  
Icss Algorithm ◽  
The Global Financial Crisis ◽  
The Impact

This paper investigates the impact of structural breaks on volatility spillovers between Asian stock markets (China, Hong Kong, India, Indonesia, Japan, Korea, Singapore, and Taiwan) and the oil futures market. To this end, we apply the bivariate DCC-GARCH model to weekly spot indices during the period 1998-2015. The results reveal significant volatility transmission for the pairs between the Asian stock and oil futures markets. Moreover, we find a significant variability in the time-varying conditional correlations between the considered markets during both bullish and bearish markets, particularly from early 2007 to the summer of 2008. Using the modified ICSS algorithm, we find several sudden changes in these markets with a common break date centred on September 15, 2008. This date corresponds to the collapse of Lehman Brothers which is considered as our breakpoint to define the global financial crisis. Also, we analyse the optimal portfolio weights and time-varying hedge ratios based on the estimates of the multivariate DCC-GARCH model. The results emphasize the importance of overweighting optimal portfolios between Asian stock and the oil futures markets.

U.S. Monetary Policy Surprises and Currency Futures Markets: A New Look

2008 ◽  
Vol 43 (4) ◽  
pp. 509-541 ◽  
Author(s):  
Tao Wang ◽  
Jian Yang ◽  
Marc W. Simpson
Keyword(s):  
Monetary Policy ◽  
Futures Markets ◽  
Currency Futures ◽  
New Look
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