• About
  • Policies
  • What is openaccess
  • Library
  • Contact
Advanced search
      View Item 
      •   BUIR Home
      • Scholarly Publications
      • Faculty of Business Administration
      • Department of Management
      • View Item
      •   BUIR Home
      • Scholarly Publications
      • Faculty of Business Administration
      • Department of Management
      • View Item
      JavaScript is disabled for your browser. Some features of this site may not work without it.

      Intraday volume-volatility nexus in the FX markets: evidence from an emerging market

      Thumbnail
      Embargo Lift Date: 2021-07-01
      View / Download
      971.0 Kb
      Author
      Şensoy, Ahmet
      Serdengeçti, S.
      Date
      2019
      Source Title
      International Review of Financial Analysis
      Print ISSN
      1057-5219
      Publisher
      Elsevier
      Volume
      64
      Pages
      1 - 12
      Language
      English
      Type
      Article
      Item Usage Stats
      99
      views
      0
      downloads
      Abstract
      Using a dataset on local banks' daily FX transaction volume segregated into counterparty and transaction types, this article investigates the relationship between trading volume and intraday realized volatility for the US dollar/Turkish lira parity (USDTRY), one of the most traded emerging market currencies against US dollar. We question whether type of counterparty and transaction affects intraday volume-volatility relationship across various trading sessions around the world. We reveal that only the spot transactions of domestic customers have positive contemporaneous relation with realized volatility and this significance is valid only in global trading sessions that mostly overlap with the local trading hours. Furthermore, we utilize a metric for the belief dispersion on the level of future exchange rate via currency options and find that the dispersion significantly strengthens the volume-volatility nexus, confirming the Dispersion of Beliefs Hypothesis.
      Keywords
      FX microstructure
      Volume-volatility nexus
      Mixture of distribution hypothesis (MDH)
      Sequential information arrival hypothesis (SIAH)
      Dispersion of beliefs hypothesis (DBH)
      Permalink
      http://hdl.handle.net/11693/53028
      Published Version (Please cite this version)
      https://dx.doi.org/10.1016/j.irfa.2019.04.001
      Collections
      • Department of Management 567
      Show full item record

      Browse

      All of BUIRCommunities & CollectionsTitlesAuthorsAdvisorsBy Issue DateKeywordsTypeDepartmentsThis CollectionTitlesAuthorsAdvisorsBy Issue DateKeywordsTypeDepartments

      My Account

      Login

      Statistics

      View Usage StatisticsView Google Analytics Statistics

      Bilkent University

      If you have trouble accessing this page and need to request an alternate format, contact the site administrator. Phone: (312) 290 1771
      © Bilkent University - Library IT

      Contact Us | Send Feedback | Off-Campus Access | Admin | Privacy