FX Market Returns and Their Relationship to Investor Fear
This note examines the relationship between changes in levels of investor fear (measured by the implied volatility index) and foreign exchange market returns. Our empirical results indicate a negative relationship between daily returns on high-interest rate (investing) currencies and changes in the...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
Wiley-Blackwell Publishing Asia
2016
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| Online Access: | http://hdl.handle.net/20.500.11937/48333 |