is article examines one facet cif the foreign currency futures markets: The T" impact on price volatility of foreign currency futures traded on the International Monetary Market (IMM) caused by European participants taking positionsquaring actions at the end of their business day, which precedes the
Inter-currency transmission of volatility in Foreign exchange futures
β Scribed by Mohammad Najand; Hamid Rahman; Kenneth Yung
- Publisher
- John Wiley and Sons
- Year
- 1992
- Tongue
- English
- Weight
- 688 KB
- Volume
- 12
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract Intraday volatility for the Eurodollar, the Euro/dollar foreign exchange rate, and the Eβmini S&P 500 futures contracts traded on a continuous 23βhour schedule on the Chicago Mercantile Exchange Globex electronic platform is studied. Volatility transmission in a single market across dif
Using standard deviations and numbers of price changes calculated from tick data for currency futures, this study finds strong day-of-theweek effects for both the Deutsche mark and Japanese yen, mild effects for the British pound, and no effects for the Canadian dollar after controlling for schedule