The effects of co-movement, macroeconomic announcement dates and major events on foreign exchange: the case of the Australian dollar and other selected currencies

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The effects of co-movement, macroeconomic announcement dates and major events on foreign exchange: the case of the Australian dollar and other selected currencies

This paper investigates on the co-movement of the Australian Dollar (AUD) with the Euro (EUR), Pound (GBP), Yen (JPY) and New Zealand Dollar (NZD), the effects of macroeconomic announcement date on the AUD’s return and volatility, and also the effects of major events, namely the Brexit and 2016 U.S...

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Bibliographic Details
Main Author:	Haw, Hui Mun
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2018
Online Access:	https://eprints.nottingham.ac.uk/54322/

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