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      • Bilkent Theses
      • Theses - Department of Management
      • Dept. of Management - Ph.D. / Sc.D.
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      Essays in empirical finance

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      Author(s)
      Serdengeçti, Süleyman
      Advisor
      Aydoğan, Kürşat
      Date
      2019-12
      Publisher
      Bilkent University
      Language
      English
      Type
      Thesis
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      Abstract
      This thesis comprise three essays that investigate foreign exchange market volatility and its dynamics using high frequency exchange rate data. In the first essay, we decompose the jump component of USDTRY exchange rate volatility and investigate association of jump frequencies and sizes with portfolio ows, carry trade activity and proxies for heterogeneous expectations derived from foreign exchange rate forecasts, currency options and forecasts for key macro-economic variables. The findings of the essay show that portfolio ows, particularly bond ows significantly reduce size and frequency of jumps. Moreover, we observe significant increases in jump size and frequencies with increasing dispersion in beliefs in future exchange rate level and CPI. In the second essay, we study the dynamics of return and liquidity jumps for USDMXN, USDTRY and USDZAR exchange rates. The findings of the essay show that the duration between consecutive return jump arrivals are significantly reduced by average liquidity level in the same period. Furthermore, arrival rates of both liquidity and return jumps are significantly affected by market-wide risk and liquidity factors and key macroeconomic news releases. In the third essay, we investigate the trading volume and volatility nexus for USDTRY exchange rate by using local banks' foreign exchange transaction volume data. In this context, foreign currency denominated spot, forward and swap transactions in with local and foreign customers and between each other for intraday realized volatility of different trading sessions. The findings of this study reveal that positive contemporaneous relationship between trading volume and volatility is evident for local customers and in local trading sessions. Moreover, dispersion in expectations for future foreign exchange rate strengthens this relationship.
      Keywords
      FX jump risk
      FX liquidity
      Heterogeneous expectations
      High-frequency analysis
      Volume-volatility nexus
      Permalink
      http://hdl.handle.net/11693/52763
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      • Dept. of Management - Ph.D. / Sc.D. 27
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