Spillovers of currency carry trade returns, market risk sentiment, and U.S. market returns

Lee, Hsiu-Chuan; Chang, Shu-Lien

doi:10.1016/j.najef.2013.10.001

Cited by 29 publications

(14 citation statements)

References 27 publications

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“…Daily 10-year sovereign yields in EMU countries and rolling total connectedness. 8 Awartania et al (2013), Lee and Chang (2013), Chau and Deesomsak (2014) and Cronin (2014) apply this methodology to examine spillovers in the United States' markets; Yilmaz (2010), Zhou et al (2012) or Narayan et al (2014) focus on Asian countries; Apostolakisa and Papadopoulos (2014) and Tsai (2014) examine G-7 economies, and Duncan and Kabundi (2013) centre their analysis on South African markets. is a crisis-sensitive variable which can induce ''volatility surprise" (see Engle, 1993), by measuring and analysing the dynamic connectedness in volatility we will be able to examine the ''fear of connectedness" expressed by market participants as they trade.…”

Section: Introductionmentioning

confidence: 99%

Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility

Rodríguez

Gómez‐Puig

Sosvilla‐Rivero

2016

Journal of International Financial Markets, Institutions and Mo

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a b s t r a c tWe measure the connectedness in EMU sovereign market volatility between April 1999 and January 2014, monitoring stress transmission and identifing episodes of intensive spillovers from one country to the others. We first perform a static and dynamic analysis to measure the total volatility connectedness in the entire period using a framework recently proposed by Diebold and Yilmaz (2014). Second, we use a dynamic analysis to evaluate the net directional connectedness for each country and apply panel model techniques to investigate its determinants. Finally, we examine the time-varying behaviour of net pair-wise directional connectedness at different stages of the recent sovereign debt crisis.

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Section: Introductionmentioning

confidence: 99%

Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility

Rodríguez

Gómez‐Puig

Sosvilla‐Rivero

2016

Journal of International Financial Markets, Institutions and Mo

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“…3 Awartania et al, (2013), Lee and Chang (2013), Chau and Deesomsak (2014) or Cronin (2014) apply this methodology to examine spillovers in the United States markets; Yilmaz (2010), Zhou et al (2012) or Narayan et al (2014) focus their analysis on Asian countries; Apostolakisa and Papadopoulos (2014) and Tsai (2014) examine G-7 economies; whilst Duncan and Kabundi (2013) center their analysis on South African markets.…”

Section: Introductionmentioning

confidence: 99%

Volatility spillovers in EMU sovereign bond markets

Rodríguez

Gómez‐Puig

Sosvilla‐Rivero

2015

International Review of Economics & Finance

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AbstractsWe analyse volatility spillovers in EMU sovereign bond markets. First, we examine the unconditional patterns during the full sample (April 1999-January 2014) using a measure recently proposed by Diebold and Yılmaz (2012). Second, we make use of a dynamic analysis to evaluate net directional volatility spillovers for each of the eleven countries under study, and to determine whether core and peripheral markets present differences. Finally, we apply a panel analysis to empirically investigate the determinants of net directional spillovers of this kind.

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“…Similarly, Fung, Tse, and Zhao () find that casality runs from carry trade activities to Asian stock markets. Lee and Chang () report similar results for the USD carry trades. They find that the G10 currency carry trade returns Granger cause stock market returns but not vice versa, and that the impact is larger during bull markets.…”

Section: Introductionmentioning

confidence: 53%

Currency Carry Trades: The Role of Macroeconomic News and Futures Market Speculation

Kim

2016

Journal of Futures Markets

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This paper investigates carry trade opportunities in major currencies against the US dollar over the period January 2, 1999 to December 31, 2012. There is evidence of significant Australian dollar (AUD), Euro, and Japanese yen (JPY) carry trades during noncrisis periods. The AUD (JPY) was an investment (a funding) currency, and the Euro was both. However, cross currency carry trades were not present. For the AUD and JPY, carry trades were more likely with low volatility and volume. Macroeconomic news that appreciate (depreciate) the AUD (the JPY) also stimulated the AUD (the JPY) carry trades. However, there is no evidence of meaningful and consistent impact of macroeconomic news on the EUR carry trades. For weekly horizon investigations, net long futures positions in the AUD promoted carry trades in the AUD and JPY. However, net long positions in the JPY only managed to reduce JPY carry trade probability. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:1076–1107, 2016

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Spillovers of currency carry trade returns, market risk sentiment, and U.S. market returns

Cited by 29 publications

References 27 publications

Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility

Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility

Volatility spillovers in EMU sovereign bond markets

Currency Carry Trades: The Role of Macroeconomic News and Futures Market Speculation

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