FX Market Returns and Their Relationship to Investor Fear

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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...

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Bibliographic Details
Main Authors:	Smales, Lee, Kininmonth, J.
Format:	Journal Article
Published:	Wiley-Blackwell Publishing Asia 2016
Online Access:	http://hdl.handle.net/20.500.11937/48333

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