Volume and Price Volatility in Yen Futures Markets
Author | : Jonathan Batten |
Publisher | : |
Total Pages | : 34 |
Release | : 1993 |
Genre | : Foreign exchange |
ISBN | : |
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Author | : Jonathan Batten |
Publisher | : |
Total Pages | : 34 |
Release | : 1993 |
Genre | : Foreign exchange |
ISBN | : |
Author | : Wan Mansor Mahmood |
Publisher | : |
Total Pages | : 0 |
Release | : 2007 |
Genre | : |
ISBN | : |
The study provides evidence of the nature of the volatility transmission for daily currency futures contracts traded at the International Monetary Market (IMM) and the Singapore Exchange (SIMEX). The samples of the German mark currency futures contracts and the Japanese yen currency futures contracts are used to study inter-market spillover effects in the non-overlapping time zones. Employing GARCH specifications, the results find strong volatility transmission only from the IMM to the SIMEX for both currency futures contracts. This result suggests that the currency futures market with larger trading volume i.e. IMM are influencing the direction of transmission compared to the currency futures market with smaller trading volume i.e. SIMEX.
Author | : Terrence F. Martell |
Publisher | : |
Total Pages | : 28 |
Release | : 1985 |
Genre | : Commodity exchanges |
ISBN | : |
Author | : Mr.Fei Han |
Publisher | : International Monetary Fund |
Total Pages | : 19 |
Release | : 2019-07-01 |
Genre | : Business & Economics |
ISBN | : 1498325394 |
The yen is an important barometer for the Japanese economy. Depreciations are typically associated with favorable economic developments such as increased corporate profits, rising equity prices, and upward pressure on domestic consumer prices. On the other hand, large and sharp appreciations run the risk of lowering actual and expected inflation, squeezing corporate profits, generating a negative wealth effect through depressed equity prices, and reducing confidence in the Bank of Japan’s efforts to reflate the domestic economy and achieve the inflation target. This paper takes a closer look at underlying drivers of rapid yen appreciations, highlighting the key role of carry-trade and the zero lower bound as important amplifiers.
Author | : Ryuzo Sato |
Publisher | : Cambridge University Press |
Total Pages | : 288 |
Release | : 1994 |
Genre | : Business & Economics |
ISBN | : 9780521568456 |
This 1994 volume examines the ramifications of deregulation in various financial markets throughout the 1980s.
Author | : Frank M. Song |
Publisher | : |
Total Pages | : 21 |
Release | : 1997 |
Genre | : Futures market |
ISBN | : |
Author | : Takatoshi Ito |
Publisher | : International Monetary Fund |
Total Pages | : 56 |
Release | : 1996-10 |
Genre | : Business & Economics |
ISBN | : |
This paper examines the impact of changes in margin requirements on returns, transaction volumes, and price volatility of Nikkei 225 futures on the Osaka Securities Exchange (OSE) and the Singapore International Monetary Exchange (SIMEX). An increase in margin requirement on one exchange is shown to reduce trading volume in the implementing exchange and to shift trade to the competing exchange. Price volatility or returns are not systematically affected by changes in margin requirements. The loss of OSE’s market share of Nikkei futures trade is partly due to the increased transactions costs (relative to SIMEX), including the margin requirement.
Author | : Suk-Joong Kim |
Publisher | : |
Total Pages | : 31 |
Release | : 2006 |
Genre | : |
ISBN | : |
We test the effectiveness of Bank of Japan (BOJ)'s foreign exchange interventions on conditional first and second moments of exchange rate returns and traded volumes, using a bivariate EGARCH model of the Yen/USD market from 5-13-1991 to 3-30-2004. We also estimate a friction model of BOJ's intervention reaction function based on reducing short-term market disorderliness and supplementing domestic monetary policy. Important finding of this study are that: i) we find ineffectiveness of BOJ interventions in influencing exchange rate trends pre-1995, in general, but effectiveness post-1995; ii) FED intervention amplified the effectiveness of the BOJ transactions; iii) interventions amplified market volatility and volumes through a 'learning by trading' process; iv) BOJ's interventions were based on 'leaning against the wind' motivations on the exchange rate trend and volumes; and v) BOJ interventions were vigorously used in support of domestic monetary policy objectives post-1995. Though some of our findings confirm recent studies, our analysis goes deeper to provide new findings with important implications for central banks and foreign exchange market participants.
Author | : Gabriele Galati |
Publisher | : |
Total Pages | : 44 |
Release | : 2000 |
Genre | : Capital market |
ISBN | : |
This paper provides empirical evidence on the relationship between trading volumes, volatility and bid-ask spreads in foreign exchange markets. It uses a new data set that includes daily data on trading volumes for the dollar exchange rates of seven currencies from emerging market countries. The sample period is 1 January 1998 to 30 June 1999. The results are broadly consistent with the findings of the literature that used futures volumes as proxies for total foreign exchange trading. I find that in most cases unexpected trading volumes and volatility are positively correlated, suggesting that both are driven by the arrival of public information, as predicted by the mixture of distributions hypothesis. I also find that the correlation between trading volumes and volatility is positive during "normal" periods but turns negative when volatility increases sharply. Finally, the results suggest that volatility and spreads are positively correlated, as suggested by inventory cost models. However, contrary to the prediction of these models, I do not find evidence of a significant impact of unexpected trading volumes on spreads.
Author | : |
Publisher | : |
Total Pages | : |
Release | : 1998 |
Genre | : |
ISBN | : |