کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
959840 929374 2009 22 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
What drives volatility persistence in the foreign exchange market?
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری حسابداری
پیش نمایش صفحه اول مقاله
What drives volatility persistence in the foreign exchange market?
چکیده انگلیسی

We propose a new empirical specification of volatility that links volatility to the information flow, measured as the order flow in the market, and to the price sensitivity to that information. The time-varying market sensitivity to information is estimated from high-frequency data, and movements in volatility can therefore be directly related to movements in order flow and market sensitivity. Empirically, the model explains a large share of the long-run variation in volatility. Importantly, the time variation in the market's sensitivity to information is at least as relevant in explaining the persistence of volatility as the rate of information arrival itself. This may be evidence of a link between changes over time in the aggregate behavior of market participants and the time-series properties of realized volatility.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 94, Issue 2, November 2009, Pages 192–213
نویسندگان
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