Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download Exchange Rate Risk And Volatility Evidence From Bid Ask Spreads full books in PDF, epub, and Kindle. Read online Exchange Rate Risk And Volatility Evidence From Bid Ask Spreads ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author : Glassman, Debra
Publisher :
ISBN 13 :
Total Pages : 21 pages
Book Rating : 4.:/5 (159 download)
Download or read book Exchange Rate Risk and Volatility : Evidence from Bid-ask Spreads written by Glassman, Debra and published by . This book was released on 1984 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Shang-Jin Wei
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.X/5 (2 download)
Download or read book Anticipations of Foreign Exchange Volatility and Bid-ask Spreads written by Shang-Jin Wei and published by . This book was released on 1994 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper studies the effect of the market's perceived exchange rate volatility on bid-ask spreads. The anticipated volatility is extracted from currency options data. An increase in the perceived volatility is found to widen bid-ask spreads. The direction of the effect is consistent with an option model of the spread, but the magnitude is smaller. An increase in trading volume of spot exchange rates also widens the spread. The omission of the trading volume, however, does not bias the estimate of the effect of the volatility on the spreads. Although the spread-volatility relation implied by the option model of the spread is close to linear, some form of nonlinearity can still be detected from the data.
Author : Stephen Satchell
Publisher : Springer
ISBN 13 : 1137554177
Total Pages : 416 pages
Book Rating : 4.1/5 (375 download)
Download or read book Derivatives and Hedge Funds written by Stephen Satchell and published by Springer. This book was released on 2016-05-18 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last 20 years hedge funds and derivatives have fluctuated in reputational terms; they have been blamed for the global financial crisis and been praised for the provision of liquidity in troubled times. Both topics are rather under-researched due to a combination of data and secrecy issues. This book is a collection of papers celebrating 20 years of the Journal of Derivatives and Hedge Funds (JDHF). The 18 papers included in this volume represent a small sample of influential papers included during the life of the Journal, representing industry-orientated research in these areas. With a Preface from co-editor of the journal Stephen Satchell, the first part of the collection focuses on hedge funds and the second on markets, prices and products.
Author : Jeffrey A. Frankel
Publisher : University of Chicago Press
ISBN 13 : 0226260232
Total Pages : 358 pages
Book Rating : 4.2/5 (262 download)
Download or read book The Microstructure of Foreign Exchange Markets written by Jeffrey A. Frankel and published by University of Chicago Press. This book was released on 2009-05-15 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: The foreign exchange market is the largest, fastest-growing financial market in the world. Yet conventional macroeconomic approaches do not explain why people trade foreign exchange. At the same time, they fail to explain the short-run determinants of the exchange rate. These nine innovative essays use a microstructure approach to analyze the workings of the foreign exchange market, with special emphasis on institutional aspects and the actual behavior of market participants. They examine the volume of transactions, heterogeneity of traders, the time of day and location of trading, the bid-ask spread, and the high level of exchange rate volatility that has puzzled many observers. They also consider the structure of the market, including such issues as nontransparency, asymmetric information, liquidity trading, the use of automated brokers, the relationship between spot and derivative markets, and the importance of systemic risk in the market. This timely volume will be essential reading for anyone interested in the economics of international finance.
Author : Mr.Torbjorn I. Becker
Publisher : International Monetary Fund
ISBN 13 : 1451860536
Total Pages : 33 pages
Book Rating : 4.4/5 (518 download)
Download or read book Were Bid-Ask Spreads in the Foreign Exchange Market Excessive During the Asian Crisis? written by Mr.Torbjorn I. Becker and published by International Monetary Fund. This book was released on 2005-02-01 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bid-ask spreads for Asian emerging market currencies increased sharply during the Asian crisis. A key question is whether such wide spreads were excessive or explained by models of bid-ask spreads. Precrisis estimates of standard models show that spreads during the crisis were in most cases tighter than spreads predicted by the models and there are few cases of excessive spreads. The result is largely explained by the substantial increase in exchange rate volatility during the crisis and to some extent by the level change. The empirical models have greater explanatory power for emerging- than for mature-market currencies.
Author : Hendrik Bessembinder
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.F/5 ( download)
Download or read book Trading Costs and Return Volatility written by Hendrik Bessembinder and published by . This book was released on 1998 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Oghenovo A. Obrimah
Publisher :
ISBN 13 :
Total Pages : 37 pages
Book Rating : 4.:/5 (13 download)
Download or read book Exchange Rate Predictability and the Skewness of Bid-Ask Spreads written by Oghenovo A. Obrimah and published by . This book was released on 2018 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: PurposeThis study examines whether the skewness of bid-ask spreads (bid-ask skewness), an information factor, can outperform the skewness of the exchange rate process (FX skewness) - a momentum variable - at forecasting future realizations of exchange rates.Design/Methodology/ApproachEmpirical tests are implemented using Autoregressive Conditional Heteroscedasticity (ARCH) models of the US$:GBP exchange rate process and consist of within-sample tests that generate estimates of forecast parameters and out-of-sample tests of forecast power. Conditional skewness is estimated using switching regression models.FindingsEmpirical results show bid-ask skewness outperforms FX skewness in out-of-sample tests of model forecast power. Consistent with information properties, bid-ask skewness induces lower prices for exchange rate volatility, ameliorates currency valuation uncertainty, and generates information conveyed by the volatility of the exchange rate process.Research ImplicationsEmpirical findings provide an information (risk pricing) rationale for momentum effects within foreign exchange markets, and raise the possibility that momentum effects can be shown to be non-anomalous proxies for information effects within stock markets. Practical ImplicationsRelative to FX skewness, empirical results recommend bid-ask skewness as a significantly less risky forecast factor for future realizations of exchange rates.Originality/ValueIn so far as the author(s) are aware, this is the first study to establish bid-ask skewness can outperform FX skewness as a predictor of future realizations of exchange rates.
Author :
Publisher :
ISBN 13 :
Total Pages : 16 pages
Book Rating : 4.:/5 (352 download)
Download or read book Bid-ask Spreads, Trading Volume and Volatility written by and published by . This book was released on 1995 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Umit G. Gurun
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (129 download)
Download or read book Volatility Clustering and the Bid-Ask Spread written by Umit G. Gurun and published by . This book was released on 2012 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the nature and behavior of the domestic (local) currency market that existed in Florence (Italy) during the late 14th and early 15th centuries (a.k.a. Early Renaissance). We find that the extant volatility and microstructure models developed for modern asset markets are able to describe the statistical volatility properties observed for the denaro-florin exchange rate. Volatility is clustered and is related to the bid-ask spread. This supports the notion that, although there are huge social, industrial and technological differences between capitalism then and now, individuals trading financial assets in an organized venue behave in a similar manner.
Author : Mr.Jack Ree
Publisher : International Monetary Fund
ISBN 13 : 1475565178
Total Pages : 29 pages
Book Rating : 4.4/5 (755 download)
Download or read book FX Funding Risks and Exchange Rate Volatility–Korea’s Case written by Mr.Jack Ree and published by International Monetary Fund. This book was released on 2012-11-07 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines how exchange rate volatility and Korean banks’ foreign exchange liquidity mismatches interacted with each other during the Global Financial Crisis, and whether the vulnerability stemming from this interaction has been reduced since then. Structural and cyclical changes after the crisis, including decreasing demand for currency hedges and the diversifying investor base for bonds, point to a possible weakening of the interaction mechanism; and we find evidences are strongly supportive of this.
Author : Benjamin M. Blau
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (13 download)
Download or read book The Volatility of Bid-Ask Spreads written by Benjamin M. Blau and published by . This book was released on 2016 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides evidence that supports the original hypothesis of Chordia, Subrahmanyam, and Ashuman (2001) that greater variability in liquidity should lead to higher expected returns. While prior research has often found a negative relation between the volatility of liquidity and expected stock returns, we find that the volatility of the bid-ask spread is positively related to future returns. The average risk-adjusted return for stocks in the highest spread volatility quintile is around 1.7 percent per month, with returns from High-Low quintiles as high as 2.7 percent per month. Furthermore, the spread volatility premium is robust to a variety of multivariate tests that control for the market risk factor, SMB, HML, momentum, and illiquidity risk. Our findings provide support for the hypothesis that variability in liquidity affects expected returns and is an important component of illiquidity.
Author : Paul Kupiec
Publisher :
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.:/5 (321 download)
Download or read book Financial Liberalisation and International Trends in Stock, Corporate Bond and Foreign Exchange Market Volatilities written by Paul Kupiec and published by . This book was released on 1991 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sirimon Treepongkaruna
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Explaining the Bid-Ask Spread in the Foreign Exchange Market written by Sirimon Treepongkaruna and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper attempts to uncover the determinants of the dealer bid-ask spread in the foreign exchange market. Prior research has examined the Huang-Masulis model wherein the spread is modelled as a function of dealer competition and volatility. We first extend this model to a much larger set of quote data covering several currencies over five years. A more recent model of the bid-ask spread has been proposed (BSW) wherein the spread is modelled as a function of order-processing costs, inventory-holding costs, adverse selection and competition. This model has not previously been tested in the foreign exchange market and this study conducts such a test. We find general support for both models using individual currency samples and a pooled sample. Of note, we find strong evidence for the relevance of the inventory-holding premium on the size of the dealer bid-ask spread. To compare the two models we undertake out-of-sample forecasts of the spread and find evidence that favours the BSW model in the aggregated sample, while the evidence is mixed in relation to individual currencies.
Download or read book Anticipations of Foreign Exchange Volatility and Bid-Ask Spreads written by and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ramon P. DeGennaro
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (129 download)
Download or read book Does Risk Aversion Vary During the Year? Evidence from Bid-Ask Spreads written by Ramon P. DeGennaro and published by . This book was released on 2010 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: We document previously undiscovered seasonal patterns in bid-ask spreads which are economically and statistically significant. After controlling for well-known conditional effects on spreads, such as risk, liquidity, and asymmetric information effects, we find that spreads based on individual dealer quotes are on average 20 basis points wider during the fall and winter relative to their unconditional average of 180 basis points. Furthermore, inside spreads are about 20 basis points narrower during these periods when spreads based on individual quotes are wider. We posit that these opposing patterns in quoted spreads and inside spreads are the logical outcome of seasonally changing risk aversion among a subset of market makers. When we consider periods of high market volatility, we find that the economic and statistical significance of the seasonal patterns in spreads intensify, as they should if they arise for reasons related to risk aversion. Our findings are robust to a wide range of tests and specification changes. Independent of the cause, researchers studying spreads need to be mindful of the strong seasonal patterns in individual dealer spreads and inside spreads, as does any market participant who has discretion in the timing of his trades.
Author : Shang-Jin Wei
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (129 download)
Download or read book Anticipations of foreing exchange volatility and bid-ask spreads written by Shang-Jin Wei and published by . This book was released on 1994 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Charlie Charoenwong
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (129 download)
Download or read book Bid-Ask Spreads, Volatility, Quote Revisions, and Trades of Thinly Traded Futures Contracts written by Charlie Charoenwong and published by . This book was released on 2013 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, intraday characteristics of thinly traded equity index futures contracts from the Singapore Exchange are examined. Though the BAS pattern during the trading day appears quite flat, an increase in risk widens the spread and a higher trading activity reduces it. The difference in volatility between days with and without trades is not significant. When trades do occur, there are more quote revisions, which is positively related to the number of trades. Higher quote revisions increase the likelihood of transactions and, when quotes are current, revisions that are accompanied by trades carry new information. We provide evidence that thinly traded contracts can be liquid if their price quotes are current.
