USF St. Petersburg campus Faculty Publications
Volatility linkage among currency futures markets during U.S. trading and non-trading periods.
Document Type
Article
Publication Date
1999
ISSN
1042-444X
Abstract
This paper examines the volatility transmission across different currency markets during trading and non-trading periods. Using vector autoregressive analysis (VAR), we find similar patterns between information flows during trading and non-trading hours of the US currency futures exchange. The results indicate that trading-hour information and non-trading-hour information have similar effects on currency prices and that the markets do not differentiate information based upon the timing of its release. Our study observes that currencies exhibit different levels of global linkage and appear to play different informational roles in the currency market. Additionally, this study observes a trend toward increased integration among the currency futures markets.
Language
en_US
Publisher
Elsevier
Recommended Citation
Fung, H.-G. & Patterson, G.A. (1999). Volatility linkage among currency futures markets during U.S. trading and non-trading periods. Journal of Multinational Financial Management, 9, 129-153.
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.
Comments
Citation only. Full-text article is available through licensed access provided by the publisher. Published in Journal of Multinational Financial Management, 9, 129-153. Members of the USF System may access the full-text of the article through the authenticated link provided.