scholarly journals Return-Volatility Linkages in the International Equity and Currency Markets

2002 ◽  
Author(s):  
Bill B. Francis ◽  
Iftekhar Hasan ◽  
Delroy M. Hunter
Keyword(s):  
Return Volatility ◽  
Currency Markets ◽  
International Equity ◽  
Volatility Linkages

Domestic and International Information Linkages for the US Dollar/Indian Rupee Contracts: An Empirical Study

2018 ◽  
Vol 43 (4) ◽  
pp. 205-233
Author(s):  
Sanjay Sehgal ◽  
Mala Dutt
Keyword(s):  
Price Discovery ◽  
Stock Exchange ◽  
Futures Contracts ◽  
Currency Markets ◽  
Information Process ◽  
Volatility Spillovers ◽  
Currency Market ◽  
The Us ◽  
Information Linkages ◽  
Volatility Linkages

This study examines price discovery and volatility linkages between USD/INR spot and futures contracts in India and between USD/INR futures contracts on National Stock Exchange of India Limited (NSE), India and on three international exchanges, namely Singapore Exchange (SGX), Dubai Gold and Commodity Exchange (DGCX) and Chicago Mercantile Exchange (CME), from 29 August 2008 to 30 March 2015. Findings show that, at domestic level, the futures dominate spot in the Indian currency market; these findings are stronger than those in an earlier study, indicating improved pricing as well as hedging efficiency in the Indian currency market. At international level, NSE is dominated by both CME and DGCX in price discovery and in short-term volatility spillovers, while NSE dominates both exchanges in long-term volatility spillovers. Further, NSE dominates SGX in the international information process. The dominance of CME and DGCX over NSE may be on account of their several advantages such as longer trading hours, operations being open even after NSE has shut business, much lower trading costs as well as lower regulatory restrictions. The study provides several significant policy suggestions for improving efficiency of the Indian currency market and is also relevant for foreign portfolio investors (FPIs), domestic investors, researchers and academicians. It contributes to literature on information transmission relating to currency markets in emerging economies.

Uncovered Interest Rate Parity, Carry Trade, and Country Equity Return Differentials

2018 ◽  
Vol 18 (3) ◽  
pp. 20180041
Author(s):  
Termkiat Kanchanapoom ◽  
Chaiyuth Padungsaksawasdi ◽  
Pornchai Chunhachinda ◽  
Maria E. de Boyrie
Keyword(s):  
Interest Rate ◽  
Equity Returns ◽  
Uncovered Interest Parity ◽  
Currency Markets ◽  
Market Returns ◽  
Interest Rate Parity ◽  
Mixed Effect ◽  
High Interest Rate ◽  
Effect Model ◽  
International Equity

This paper applies a mixed effect model to investigate the relationship between international equity returns and forward discount sorted currency returns from three base currencies (i. e., US dollar, euro, and pound sterling). Empirical results using the portfolio approach show that high-interest rate currencies co-move positively while low-interest rate currencies co-move negatively, suggesting that foreign equity excess returns can help to explain investment in currency markets, providing a partial resolution to the uncovered interest parity conundrum. Furthermore, we show that global equity market returns, volatility, and liquidity correlate well with currency returns.

Dynamic Relations between International Equity and Currency Markets: The Role of Currency Order Flow*

2006 ◽  
Vol 79 (1) ◽  
pp. 219-258 ◽  
Author(s):  
Bill B. Francis ◽  
Iftekhar Hasan ◽  
Delroy M. Hunter
Keyword(s):  
Order Flow ◽  
Currency Markets ◽  
International Equity ◽  
Dynamic Relations

Global Equity Correlation in International Markets

2021 ◽  
Author(s):  
Joon Woo Bae ◽  
Redouane Elkamhi
Keyword(s):  
International Markets ◽  
Currency Markets ◽  
Cross Sectional ◽  
Sovereign Bonds ◽  
Price Of Risk ◽  
Aggregate Risks ◽  
International Equity ◽  
Asset Classes ◽  
Fx Market ◽  
Shed Light

We present empirical evidence that the innovation in global equity correlation is a viable pricing factor in international markets. We develop a stylized model to motivate why this is a reasonable candidate factor and propose a simple way to measure it. We find that our factor has a robust negative price of risk and significantly improves the joint cross-sectional fits across various asset classes, including global equities, commodities, sovereign bonds, foreign exchange rates, and options. In exploring the pricing ability of our factor on the FX market, we also shed light on the link between international equity and currency markets through global equity correlations as an instrument for aggregate risks. This paper was accepted by Karl Diether, finance.

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