Title

Volatility linkage among currency futures markets during U.S. trading and non-trading periods.

SelectedWorks Author Profiles:

Gary A. Patterson

Document Type

Article

Publication Date

1999

Date Issued

January 1999

Date Available

August 2014

ISSN

1042-444X

Abstract

This paper examines the volatility transmission across different currency markets during trading and non-trading periods. Using vector autoregressive analysis (VAR), we find similar patterns between information flows during trading and non-trading hours of the US currency futures exchange. The results indicate that trading-hour information and non-trading-hour information have similar effects on currency prices and that the markets do not differentiate information based upon the timing of its release. Our study observes that currencies exhibit different levels of global linkage and appear to play different informational roles in the currency market. Additionally, this study observes a trend toward increased integration among the currency futures markets.

Comments

Citation only. Full-text article is available through licensed access provided by the publisher. Published in Journal of Multinational Financial Management, 9, 129-153. Members of the USF System may access the full-text of the article through the authenticated link provided.

Language

en_US

Publisher

Elsevier

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.