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Speculative capital and currency carry trades

✍ Scribed by Petri Jylhä; Matti Suominen


Book ID
113711267
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
482 KB
Volume
99
Category
Article
ISSN
0304-405X

No coin nor oath required. For personal study only.


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The article examines the relationship between daily returns of currency carry trades and U.S. stocks from January 1995 through September 2010. Carry trade and stock returns are highly correlated with no Granger‐causality in either direction. An EGARCH model shows that significant volatility spillove