Commodity Price, Carry Trade, and the Volatility and Liquidity of Asian Currencies
β Scribed by Gochoco-Bautista, Maria Socorro; Wang, Jianxin; Yang, Minxian
- Book ID
- 121202854
- Publisher
- John Wiley and Sons
- Year
- 2013
- Tongue
- English
- Weight
- 608 KB
- Volume
- 37
- Category
- Article
- ISSN
- 0378-5920
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π SIMILAR VOLUMES
## Abstract This article examines the interrelations between future volatility of the U.S. dollar/British pound exchange rate and trading volume of currency options for the British pound. The future volatility of the exchange rate is approximated alternatively by implied volatility and by IGARCH vo
Hedge funds are often related to the yen carry trade. This paper investigates the exposures of hedge funds that focus on currency assets to the returns of the yen/USD carry trade. The results suggest that the exposure of these hedge funds is positive only when carry trade returns are negative. Also,