Transfiguration of the foreign exchange market since the Euro introduction

Liu Zhentao and Kazumi Asako

Applied Financial Economics, 2009, vol. 19, issue 22, 1803-1812

Abstract: 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.

Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603100903049690 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:19:y:2009:i:22:p:1803-1812

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/09603100903049690

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().