Information and volatility links in the foreign exchange market

Treepongkaruna, S. and Gray, S. (2009) Information and volatility links in the foreign exchange market. Accounting and Finance, 49 2: 385-405. doi:10.1111/j.1467-629X.2008.00287.x

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Author Treepongkaruna, S.
Gray, S.
Title Information and volatility links in the foreign exchange market
Journal name Accounting and Finance   Check publisher's open access policy
ISSN 0810-5391
Publication date 2009-06-01
Year available 2008
Sub-type Article (original research)
DOI 10.1111/j.1467-629X.2008.00287.x
Volume 49
Issue 2
Start page 385
End page 405
Total pages 21
Editor Faff, R.
Place of publication Melbourne
Publisher Blackwell Publishing
Collection year 2009
Language eng
Subject C1
150202 Financial Econometrics
910206 Market-Based Mechanisms
Abstract We apply the trading model of Fleming et al (1998). to a number of currency markets. The model posits that two markets can have common volatility structures as a result of receiving common information and from cross-hedging activity where a position in one currency is used to hedge risk in a position taken in another. Our results imply that the model is effective in identifying common information flows and volatility spillovers in the currency markets and that some of these effects are lost when simply examining raw correlations. A series of specification tests of the 21 bivariate systems that are examined provides support for the trading model in the foreign exchange context.
Keyword stochastic volatility
common information
volatility spillover
market linkages
foreign exchange market
Q-Index Code C1
Q-Index Status Confirmed Code
Additional Notes Early View (Articles online in advance of print) Published Online: 21 Oct 2008

Document type: Journal Article
Sub-type: Article (original research)
Collections: 2009 Higher Education Research Data Collection
Excellence in Research Australia (ERA) - Collection
UQ Business School Publications
 
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Citation counts: TR Web of Science Citation Count  Cited 4 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 5 times in Scopus Article | Citations
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Created: Tue, 04 Nov 2008, 21:02:42 EST by Karen Morgan on behalf of UQ Business School