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dc.contributor.authorŞensoy, Ahmeten_US
dc.contributor.authorSerdengeçti, S.en_US
dc.date.accessioned2020-02-04T06:51:28Z
dc.date.available2020-02-04T06:51:28Z
dc.date.issued2019
dc.identifier.issn1057-5219
dc.identifier.urihttp://hdl.handle.net/11693/53028
dc.description.abstractUsing 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.en_US
dc.language.isoEnglishen_US
dc.source.titleInternational Review of Financial Analysisen_US
dc.relation.isversionofhttps://dx.doi.org/10.1016/j.irfa.2019.04.001en_US
dc.subjectFX microstructureen_US
dc.subjectVolume-volatility nexusen_US
dc.subjectMixture of distribution hypothesis (MDH)en_US
dc.subjectSequential information arrival hypothesis (SIAH)en_US
dc.subjectDispersion of beliefs hypothesis (DBH)en_US
dc.titleIntraday volume-volatility nexus in the FX markets: evidence from an emerging marketen_US
dc.typeArticleen_US
dc.departmentDepartment of Mechanical Engineeringen_US
dc.citation.spage1en_US
dc.citation.epage12en_US
dc.citation.volumeNumber64en_US
dc.identifier.doi10.1016/j.irfa.2019.04.001en_US
dc.publisherElsevieren_US
dc.contributor.bilkentauthorŞensoy, Ahmet
dc.embargo.release2021-07-01


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