دورية أكاديمية
Does currency smirk predict foreign exchange return?
| العنوان: | Does currency smirk predict foreign exchange return? |
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| المؤلفون: | Ariful Hoque, Thi Ngoc Quynh Le, Kamrul Hassan |
| المصدر: | Investment Management & Financial Innovations, Vol 17, Iss 3, Pp 219-230 (2020) |
| بيانات النشر: | LLC "CPC "Business Perspectives", 2020. |
| سنة النشر: | 2020 |
| المجموعة: | LCC:Finance |
| مصطلحات موضوعية: | implied volatility, information content, reverse skew, skewness, Finance, HG1-9999 |
| الوصف: | This study examines the predictive power of implied volatility smirk to forecast foreign exchange (FX) return. The volatility smirk contains critical information, especially when the market experiences negative news. The Australian dollar, Canadian dollar, Swiss franc, Euro, and British pound options traded in the opening, midday and closing periods of the trading day are selected to estimate the currency smirk. Research results reveal that the currency smirk outperforms in forecasting FX returns. In addition, the steeper slope in the middle of the trading day suggests that the predictive power of currency smirk in the midday period is higher compared to the opening and closing periods. However, currency smirks’ predictability lasts for a short period, as the FX market is highly adept at incorporating the vital information embedded in the currency smirk. These findings imply that the currency smirk is distinctive for forecasting very short-term FX fluctuations, and the day- or overnight FX traders can use its uniqueness to profit from quick price swings in the 24-hour global FX market. |
| نوع الوثيقة: | article |
| وصف الملف: | electronic resource |
| اللغة: | English |
| تدمد: | 1810-4967 1812-9358 |
| Relation: | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/14013/IMFI_2020_03_Hoque.pdf; https://doaj.org/toc/1810-4967; https://doaj.org/toc/1812-9358 |
| DOI: | 10.21511/imfi.17(3).2020.17 |
| URL الوصول: | https://doaj.org/article/492408adc1624c93881976700367e8ce |
| رقم الأكسشن: | edsdoj.492408adc1624c93881976700367e8ce |
| قاعدة البيانات: | Directory of Open Access Journals |
Full Text Finder | تدمد: | 18104967 18129358 |
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| DOI: | 10.21511/imfi.17(3).2020.17 |