IDEAS home Printed from https://ideas.repec.org/a/wly/jfutmk/v34y2014i1p74-92.html
   My bibliography  Save this article

Examining the Return–Volatility Relation for Foreign Exchange: Evidence from the Euro VIX

Author

Listed:
  • Robert T. Daigler
  • Ann Marie Hibbert
  • Ivelina Pavlova

Abstract

No abstract is available for this item.

Suggested Citation

  • Robert T. Daigler & Ann Marie Hibbert & Ivelina Pavlova, 2014. "Examining the Return–Volatility Relation for Foreign Exchange: Evidence from the Euro VIX," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(1), pages 74-92, January.
  • Handle: RePEc:wly:jfutmk:v:34:y:2014:i:1:p:74-92
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1002/fut.21582
    Download Restriction: no

    References listed on IDEAS

    as
    1. Jeff Fleming & Barbara Ostdiek & Robert E. Whaley, 1995. "Predicting stock market volatility: A new measure," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 15(3), pages 265-302, May.
    2. Melvin, Michael & Taylor, Mark P., 2009. "The crisis in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 28(8), pages 1317-1330, December.
    3. Campbell, John Y. & Hentschel, Ludger, 1992. "No news is good news *1: An asymmetric model of changing volatility in stock returns," Journal of Financial Economics, Elsevier, vol. 31(3), pages 281-318, June.
    4. Robert N McCauley & Patrick McGuire, 2009. "Dollar appreciation in 2008: safe haven, carry trades, dollar shortage and overhedging," BIS Quarterly Review, Bank for International Settlements, December.
    5. Pindyck, Robert S, 1984. "Risk, Inflation, and the Stock Market," American Economic Review, American Economic Association, vol. 74(3), pages 335-351, June.
    6. Wang, Jianxin & Yang, Minxian, 2009. "Asymmetric volatility in the foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 597-615, October.
    7. Baillie, Richard T. & DeGennaro, Ramon P., 1990. "Stock Returns and Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(02), pages 203-214, June.
    8. Fratzscher, Marcel, 2009. "What explains global exchange rate movements during the financial crisis?," Journal of International Money and Finance, Elsevier, vol. 28(8), pages 1390-1407, December.
    9. Tim Bollerslev & Julia Litvinova & George Tauchen, 2006. "Leverage and Volatility Feedback Effects in High-Frequency Data," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(3), pages 353-384.
    10. Hibbert, Ann Marie & Daigler, Robert T. & Dupoyet, Brice, 2008. "A behavioral explanation for the negative asymmetric return-volatility relation," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2254-2266, October.
    11. Cheekiat Low, 2004. "The Fear and Exuberance from Implied Volatility of S&P 100 Index Options," The Journal of Business, University of Chicago Press, vol. 77(3), pages 527-546, July.
    12. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
    13. Theodossiou, Panayiotis, 1994. "The Stochastic Properties of Major Canadian Exchange Rates," The Financial Review, Eastern Finance Association, vol. 29(2), pages 193-221, May.
    14. Bekaert, Geert & Wu, Guojun, 2000. "Asymmetric Volatility and Risk in Equity Markets," Review of Financial Studies, Society for Financial Studies, vol. 13(1), pages 1-42.
    15. Nicolas P. B. Bollen & Robert E. Whaley, 2004. "Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?," Journal of Finance, American Finance Association, vol. 59(2), pages 711-753, April.
    16. McKenzie, Michael, 2002. "The Economics of Exchange Rate Volatility Asymmetry," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 7(3), pages 247-260, July.
    17. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
    18. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    19. Christie, Andrew A., 1982. "The stochastic behavior of common stock variances : Value, leverage and interest rate effects," Journal of Financial Economics, Elsevier, vol. 10(4), pages 407-432, December.
    20. Ser-Huang Poon & Clive W.J. Granger, 2003. "Forecasting Volatility in Financial Markets: A Review," Journal of Economic Literature, American Economic Association, vol. 41(2), pages 478-539, June.
    21. Kim, Minho & Kim, Minchoul, 2003. "Implied volatility dynamics in the foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 22(4), pages 511-528, August.
    22. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2006. "The Cross-Section of Volatility and Expected Returns," Journal of Finance, American Finance Association, vol. 61(1), pages 259-299, February.
    23. Ihsan Ullah Badshah, 2013. "Quantile Regression Analysis of the Asymmetric Return‐Volatility Relation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(3), pages 235-265, March.
    24. Marion Kohler, 2010. "Exchange rates during financial crises," BIS Quarterly Review, Bank for International Settlements, March.
    25. Kam C. Chan & Louis T. W. Cheng & Peter P. Lung, 2005. "Asymmetric Volatility and Trading Activity in Index Futures Options," The Financial Review, Eastern Finance Association, vol. 40(3), pages 381-407, August.
    26. Brandt, Michael W. & Kang, Qiang, 2004. "On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach," Journal of Financial Economics, Elsevier, vol. 72(2), pages 217-257, May.
    27. Bollen, Nicolas P. B & Rasiel, Emma, 2003. "The performance of alternative valuation models in the OTC currency options market," Journal of International Money and Finance, Elsevier, vol. 22(1), pages 33-64, February.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Yang, Ann Shawing, 2016. "Calendar trading of Taiwan stock market: A study of holidays on trading detachment and interruptions," Emerging Markets Review, Elsevier, vol. 28(C), pages 140-154.
    2. repec:spr:jecfin:v:41:y:2017:i:3:d:10.1007_s12197-016-9378-2 is not listed on IDEAS
    3. repec:eee:finsta:v:30:y:2017:i:c:p:156-174 is not listed on IDEAS
    4. Hassan, M. Kabir & Kayhana, Selim & Bayatb, Tayfur, 2016. "The Relation between Return and Volatility in ETFs Traded in Borsa Istanbul: Is there any Difference between Islamic and Conventional ETFs?," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 24, pages 45-76.
    5. Agbeyegbe, Terence D., 2015. "An inverted U-shaped crude oil price return-implied volatility relationship," Review of Financial Economics, Elsevier, vol. 27(C), pages 28-45.
    6. Badshah, Ihsan & Frijns, Bart & Knif, Johan & Tourani-Rad, Alireza, 2016. "Asymmetries of the intraday return-volatility relation," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 182-192.
    7. Kim, Jun Sik & Ryu, Doojin, 2015. "Are the KOSPI 200 implied volatilities useful in value-at-risk models?," Emerging Markets Review, Elsevier, vol. 22(C), pages 43-64.
    8. Miikka Kaurijoki & Jussi Nikkinen & Janne Äijö, 2015. "Return‐Implied Volatility Dynamics of High and Low Yielding Currencies," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(11), pages 1026-1041, November.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:jfutmk:v:34:y:2014:i:1:p:74-92. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (). General contact details of provider: http://www.interscience.wiley.com/jpages/0270-7314/ .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.