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The Impact Of The Introduction Of Fx Futures On The Volatility Of The Underlying Asian Emerging Market Currencies, Teresa Starzecki
The Impact Of The Introduction Of Fx Futures On The Volatility Of The Underlying Asian Emerging Market Currencies, Teresa Starzecki
Doctoral Dissertations (DBA)
This paper examines the impact of the introduction of currency futures on the volatility of four Asian emerging market currencies: Chinese yuan, Indian rupee, South Korean won, and Thai baht. A GARCH(1,1) model is implemented to measure volatility in pre- and post- futures introduction periods along with an MCMC procedure to estimate the model and test the significance in changes in volatility between the periods. We find that for three of the four currencies, the persistence and long-run mean of volatility significantly decrease after futures were introduced, while the variance of variance decreases for all four currencies. The results suggest …
Monthly Seasonality In Emerging Market: Evidence From Bangladesh, Lutfur Rahman, Abu S. Amin
Monthly Seasonality In Emerging Market: Evidence From Bangladesh, Lutfur Rahman, Abu S. Amin
WCBT Faculty Publications
The presence of the seasonal anomaly in stock returns has been reported extensively in finance literature. This paper examines the presence of monthly anomaly in Dhaka Stock Exchange (DSE), the premier stock exchange of Bangladesh. Data used in the study include daily closing prices of DSE indices such as DSE all share prices index (DSI), DSE general index (DGEN) and DSE 20 index for a period of 01.01.2001-30.06.2010. Several hypotheses have been formulated; those hypotheses have been tested and dummy variable regression was used in the study. The result indicates that May and June returns are positive and statistically significant. …
Proliferation Of Tail Risks And Policy Responses In The Eu Financial Markets, Lucjan Orlowski
Proliferation Of Tail Risks And Policy Responses In The Eu Financial Markets, Lucjan Orlowski
WCBT Faculty Publications
This study draws attention to the proliferation of tail risks in financial markets prior to and during the course of the recent global financial crisis. It examines the level of tail risks in selected equity, interbank lending and foreign exchange markets in selected EU Member States in relation to the United States. The extent of tail risks is assessed by applying general error distribution (GED) parameterization in GARCH volatility tests of the examined variables. The empirical tests prove that tail risks were pronounced across all of the examined European financial markets throughout the crisis. They were also significant prior to …