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The Dynamics of Linkages Between Major Currencies: How Does It Change Depending on the Time of Day? 主要货币之间联系的动态:它是如何随时间变化的?
Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2020-07-15 DOI: 10.2139/ssrn.3652087
Małgorzata Doman, R. Doman
{"title":"The Dynamics of Linkages Between Major Currencies: How Does It Change Depending on the Time of Day?","authors":"Małgorzata Doman, R. Doman","doi":"10.2139/ssrn.3652087","DOIUrl":"https://doi.org/10.2139/ssrn.3652087","url":null,"abstract":"In this paper we document how the dynamics of linkages between major exchange rates changes during a day, depending on the activity of different groups of traders, and show the impact of important events and news on the dependence structures. The subject of analysis are linkages between the exchange rates EUR/USD, AUD/USD, GBP/USD and NZD/USD. For each hour of the day, we model the conditional dependence between the daily returns calculated at that time. The analysis is performed separately for bid and ask prices, which enables us to obtain some results concerning the sellers and buyers behavior. The dynamics of the conditional dependence is modeled by means of bivariate Markov-switching copula models, and the strength of the linkages is described by means of dynamic Spearman’s rho coefficients. The rankings of the strength of the linkages, depending on the hour, which we obtain using the model confidence set methodology, can be useful in trade decision-making in the FOREX market.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"81 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128952249","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
How Does the Conditional Quantile Dependence in the FOREX Market Change Depending on the Time of Day? Analysis Based on Ask and Bid Prices 外汇市场的条件分位数依赖性如何随时间变化?基于卖出价的分析
Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2020-07-15 DOI: 10.2139/ssrn.3652092
Małgorzata Doman, R. Doman
{"title":"How Does the Conditional Quantile Dependence in the FOREX Market Change Depending on the Time of Day? Analysis Based on Ask and Bid Prices","authors":"Małgorzata Doman, R. Doman","doi":"10.2139/ssrn.3652092","DOIUrl":"https://doi.org/10.2139/ssrn.3652092","url":null,"abstract":"In the paper, we show that estimates of the strength of linkages between the exchange rates EUR/USD, AUD/USD, GBP/USD, and NZD/USD below small or above large quantiles de-pend on the time of day, at which the daily returns are calculated. We argue that this is due to the activity of traders in different parts of the world, and the impact of the information flow. We use daily returns calculated for each hour of the day. The analysis is performed separately for bid and ask prices. We model the conditional dependence by means of bivari-ate Markov-switching copula models. Then, quantile dependence probabilities are calculated for the fitted conditional copulas. The models include copulas that can capture different types of asymmetry and tail behavior. Our results show that the applied dynamic dependence measures change significantly, depending on the hour of the day. The rankings of the strength of the dependence below small or above large quantiles, which we obtain using the model confidence set methodology, can be useful in portfolio risk management.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"520 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122901834","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Moment Approximations of Displaced Forward-LIBOR Rates with Application to Swaptions 位移远期libor利率的矩逼近及其在掉期交易中的应用
Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2020-05-02 DOI: 10.2139/ssrn.3591458
Jacques van Appel, Thomas Andrew McWalter
{"title":"Moment Approximations of Displaced Forward-LIBOR Rates with Application to Swaptions","authors":"Jacques van Appel, Thomas Andrew McWalter","doi":"10.2139/ssrn.3591458","DOIUrl":"https://doi.org/10.2139/ssrn.3591458","url":null,"abstract":"We present an algorithm to approximate moments for forward rates under a displaced lognormal forward-LIBOR model (DLFM). Since the joint distribution of rates is unknown, we use a multi-dimensional full weak order 2.0 Ito–Taylor expansion in combination with a second-order Delta method. This more accurately accounts for state dependence in the drift terms, improving upon previous approaches. To verify this improvement we conduct quasi-Monte Carlo simulations. We use the new mean approximation to provide an improved swaption volatility approximation, and compare this to the approaches of Rebonato, Hull–White and Kawai, adapted to price swaptions under the DLFM. Rebonato and Hull–White are found to be the least accurate. While Kawai is the most accurate, it is computationally inefficient. Numerical results show that our approach strikes a balance between accuracy and efficiency.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"142 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116572728","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Liquidity Yield and Exchange Rate Predictability 流动性收益与汇率可预测性
Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2020-04-11 DOI: 10.2139/ssrn.3573762
Shiu‐Sheng Chen, Yu-Hsi Chou
{"title":"Liquidity Yield and Exchange Rate Predictability","authors":"Shiu‐Sheng Chen, Yu-Hsi Chou","doi":"10.2139/ssrn.3573762","DOIUrl":"https://doi.org/10.2139/ssrn.3573762","url":null,"abstract":"In this paper, we extend the Taylor rule model of exchange rate determination by incorporating the liquidity yield on government bonds and investigate exchange rate predictability. We find that the liquidity yield on government bonds delivers additional predictive power to future exchange rate movements beyond the model with Taylor rule fundamentals, using both in-sample and out-of-sample tests. In particular, the model with liquidity yield exhibits superior predictive power after the currency swap market frictions are controlled.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130097619","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Relationship Between Implied Volatility and Cryptocurrency Returns 隐含波动率与加密货币收益之间的关系
Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2020-03-01 DOI: 10.2139/ssrn.3758513
Erdinç Akyıldırım, S. Corbet, B. Lucey, A. Şensoy, L. Yarovaya
{"title":"The Relationship Between Implied Volatility and Cryptocurrency Returns","authors":"Erdinç Akyıldırım, S. Corbet, B. Lucey, A. Şensoy, L. Yarovaya","doi":"10.2139/ssrn.3758513","DOIUrl":"https://doi.org/10.2139/ssrn.3758513","url":null,"abstract":"Abstract We analyse the relationship between the price volatility of a broad range of cryptocurrencies and that of implied volatility of both United States and European financial markets as measured by the VIX and VSTOXX respectively. Overall, our results indicate the existence of time-varying positive interrelationships between the conditional correlations of cryptocurrencies and financial market stress. Further, these correlations are found to increase substantially during periods of high financial market stress, indicating that the contagion of significant financial market fear influences these new financial products.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"228 1-4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131511330","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 84
Currency Conversion of Fama/French Factors: How and Why 法马/法国因素的货币转换:如何以及为什么
Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2020-02-18 DOI: 10.2139/ssrn.3437648
M. Glück, Benjamin Hübel, H. Scholz
{"title":"Currency Conversion of Fama/French Factors: How and Why","authors":"M. Glück, Benjamin Hübel, H. Scholz","doi":"10.2139/ssrn.3437648","DOIUrl":"https://doi.org/10.2139/ssrn.3437648","url":null,"abstract":"A convenient way to apply Fama/French factor models in empirical research is to use factor returns downloaded from databases like Kenneth French’s data library. These factors are usually provided in US dollars – for both US and non-US stock markets. When evaluating non-US data samples from a non US-dollar investor’s perspective (e.g., European funds from a EUR perspective), we point out that the downloaded factors need to be converted into the respective non-US-dollar currency. In this paper, we show how to convert the currencies of downloaded factors. Moreover, we illustrate the statistical and practical relevance of the currency conversion based on passive index returns of the MSCI Europe IMI and returns of actively managed European equity funds from a EUR perspective. Our findings suggest that neglecting the currency conversion results in skewed estimated alphas and factor loadings. The currency conversion of downloaded factors is thus relevant in drawing reliable conclusions when applying factor models from a non-US dollar perspective.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121658714","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 11
Duration of Sudden Stop Spells: A Hazard Model Approach 突然停止法术的持续时间:一种危险模型方法
Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2020-02-01 DOI: 10.1111/roie.12443
M. Bandaogo, Yu‐chin Chen
{"title":"Duration of Sudden Stop Spells: A Hazard Model Approach","authors":"M. Bandaogo, Yu‐chin Chen","doi":"10.1111/roie.12443","DOIUrl":"https://doi.org/10.1111/roie.12443","url":null,"abstract":"Using a hazard‐based duration model, we analyze the determinants of the duration of a period of sudden stop, which is defined as a drop in capital inflow by two standard deviations, for at least two consecutive quarters. The hazard model estimates the conditional probability that the country exits the sudden stop today given that it experienced one until the end of last period. We find that a higher ratio of foreign exchange reserves to short‐term external debt shortens the duration of sudden stops. We also find that a higher global economic growth rate tends to shorten sudden stop spells. Our results are robust to various alternative specifications.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"70 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132992779","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
Execution Risk and Arbitrage Opportunities in the Foreign Exchange Markets 外汇市场的执行风险和套利机会
Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2020-01-01 DOI: 10.3386/w26706
Takatoshi Ito, Kenta Yamada, M. Takayasu, H. Takayasu
{"title":"Execution Risk and Arbitrage Opportunities in the Foreign Exchange Markets","authors":"Takatoshi Ito, Kenta Yamada, M. Takayasu, H. Takayasu","doi":"10.3386/w26706","DOIUrl":"https://doi.org/10.3386/w26706","url":null,"abstract":"With the high-frequency data of firm quotes in the transaction platform of foreign exchanges, arbitrage profit opportunities—in the forms of a negative bid-ask spread of a currency pair and triangular transactions involving three currency pairs—can be detected to emerge and disappear in the matter of seconds. The frequency and duration of such arbitrage opportunities have declined over time, most likely due to the emergence of algorithmic trading. When a human trader detects such an arbitrage opportunity and places orders for multiple transactions—two in negative spreads and three in triangular arbitrage—there is no guarantee all of those orders are fulfilled in a fraction of one second. Thus, the arbitrageur has to consider execution risk, when he/she/it detects the emergence of such an opportunity. The novelty of this paper is to show that those arbitrage opportunities were exploitable and executable, before the mid-2000s, even considering the transactions costs and execution risk. After many algorithmic computers were allowed to be connected directly to the EBS transaction platform in the mid-2000s, the frequency of free lunch cases has declined and probabilities of successful executions of all legs for arbitrage declined. We calculate the change in the expected profit of an attempt to execute necessary transactions to reap benefits from arbitrage opportunity.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"136 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122910974","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
The Nexus between Exchange Rate and Foreign Equity Investors Behavior after the Shanghai-Hong Kong Stock Connect 沪港通后汇率与境外投资者行为的关系
Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2019-12-28 DOI: 10.16980/jitc.15.6.201912.35
Guodan Liu, Gab-Je Jo
{"title":"The Nexus between Exchange Rate and Foreign Equity Investors Behavior after the Shanghai-Hong Kong Stock Connect","authors":"Guodan Liu, Gab-Je Jo","doi":"10.16980/jitc.15.6.201912.35","DOIUrl":"https://doi.org/10.16980/jitc.15.6.201912.35","url":null,"abstract":"Purpose - This paper investigates the causal nexus between the exchange rate and foreign equity investors’ behavior in Shanghai and Hong Kong by using daily time series data after the Shanghai-Hong Kong Stock Connect scheme was launched.<br><br>Design/Methodology/Approach - The empirical data period is a sample of all daily trading data from the implementation of the Shanghai-Hong Kong Stock Connect to April 12, 2019. In order to analyze the nexus between the Shanghai Stock Exchange and Hong Kong Stock Exchange, we employed the impulse response function analysis based on the vector autoregression (VAR) model.<br><br>Findings - From estimation results on the Shanghai stock market, we found that exchange rates have not had a significant impact on foreign equity investors. Conversely, foreign equity flows have had a significant impact on exchange rate of the RMB. From estimation results on the Hong Kong stock market, it was found that mainland Chinese investors have not significantly affected the foreign exchange market of Hong Kong. On the other hand, the results show that exchange rates have had a significant impact on mainland Chinese investors in Hong Kong.<br><br>Research Implications or Originality - In the Shanghai stock market, exchange rates have not had a significant impact on foreign equity investors, which is due to exchange rate risk management by foreign investors. Conversely, a large amount of foreign equity inflows led to the appreciation of the RMB. In the Hong Kong stock market, mainland Chinese investors have not significantly affected the foreign exchange market of Hong Kong, which is due to a limited share of mainland Chinese investment in Hong Kong market capitalization. Conversely, exchange rates have had a significant impact on mainland Chinese investors in Hong Kong, which reveal that mainland Chinese equity flows into Hong Kong increased when the RMB depreciated against the Hong Kong dollar.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123875469","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Cross-Section of Currency Volatility Premia 货币波动溢价的横截面
Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2019-12-23 DOI: 10.2139/SSRN.2892114
Pasquale Della Corte, R. Kozhan, A. Neuberger
{"title":"The Cross-Section of Currency Volatility Premia","authors":"Pasquale Della Corte, R. Kozhan, A. Neuberger","doi":"10.2139/SSRN.2892114","DOIUrl":"https://doi.org/10.2139/SSRN.2892114","url":null,"abstract":"Abstract We identify a global risk factor in the cross-section of implied volatility returns in currency markets. A zero-cost strategy that buys forward volatility agreements with downward sloping implied volatility curves and sells those with upward slopes–a volatility carry strategy–generates significant excess returns. The covariation with volatility carry returns fully explains the cross-sectional variation of our slope-sorted portfolios. The lower the slope, the more the forward volatility agreement is exposed to volatility carry risk.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122111433","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 19
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