Transfiguration of the foreign exchange market since the Euro introduction

• Autores: Liu Zhentao, Kazumi Asako
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 19, Nº. 22-24, 2009, págs. 1803-1812
• Idioma: inglés
• DOI: 10.1080/09603100903049690
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• Resumen

  • We confirm that there are changes in the features of the foreign exchange market since the Euro introduction through empirical experiments on five major exchange rate series in the world. We verify the existence of asymmetry in volatility process of Japanese Yen (JPY)/United States Dollar (USD), Australian Dollar (AUD)/USD and New Zealand Dollar (NZD)/USD while JPY appreciates and AUD and NZD depreciate. We also ascertain that volatility for those five major exchange rate series has become larger and the correlation between exchange rate series has become stronger since the Euro introduction.