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We compare the return–volatility relation for the euro currency to the equivalent relation for the equity market, examining the sign, symmetry, and strength of the relation. We employ the euro‐currency exchange‐traded fund (FXE) and its associated option implied volatility index (the EVZ), whereas previous studies only employ equities and/or realized volatility. The equity studies find a negative asymmetric return–volatility relation for implied volatility, with a strong relation when large market movements occur. We find that the euro return–volatility relation can possess either a positive or negative sign, is asymmetric, and has a weaker relation. Thus, the sign and strength of the euro relation differs from the equivalent equity relation. Our quantile regressions show that both the positive and negative contemporaneous returns of the euro result in increased volatility in the extreme quantiles of the conditional distribution, with the contemporaneous effect showing a stronger relation when the euro depreciates. We also find that the volume of the euro‐currency ETF options affects the return–volatility relation for the euro ETF. Overall, the results here expand the concept originally restricted to equities, with the surprising results that the return‐implied volatility relation is weaker and the asymmetric return sometimes is positive for the euro currency. © 2012 Wiley Periodicals, Inc. Jrl Fut Mark 34:74–92, 2014

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We investigate the determinants of daily changes in credit spreads in the U.S. corporate bond market. Using a sample of liquid investment grade and high-yield bonds, we show that both systematic bond and stock market factors as well as idiosyncratic equity market factors affect changes in the yield spread at the daily frequency. In particular, we find that increase in stock market volatility has a positive effect on changes in the spread of corporate bonds over the corresponding Treasuries beyond that captured by standard term structure variables. Our We are grateful for the valuable comments of session participants at the 2008 French Finance Association meeting, the 2010 meeting of the Southwestern Finance Association (SWFA) in Dallas, Texas and the 2010 meeting of the Eastern Finance Association (EFA) in Miami, Florida. We also would like to thank the editor and an anonymous referee for helpful comments and suggestions. Partial funding for this work was provided by the Florida International Bankers Association (FIBA). C 2011, The Eastern Finance Association 357 358 A. M. Hibbert et al./The Financial Review 46 (2011) 357-383results show that there is an almost contemporaneous inverse relationship between changes in the bond yield spread and the stock return of the issuing firm.