High-frequency contagion between the exchange rates and stock prices by Yuko Hashimoto

Cover of: High-frequency contagion between the exchange rates and stock prices | Yuko Hashimoto

Published by National Bureau of Economic Research in Cambridge, MA .

Written in English

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Places:

  • Asia.

Subjects:

  • Financial crises -- Asia.,
  • Stock -- Prices -- Asia.,
  • Foreign exchange rate -- Asia.

Edition Notes

Book details

StatementYuko Hashimoto, Takatoshi Ito.
SeriesNBER working paper series ;, working paper 10448, Working paper series (National Bureau of Economic Research : Online) ;, working paper no. 10448.
ContributionsItō, Takatoshi, 1950-, National Bureau of Economic Research.
Classifications
LC ClassificationsHB1
The Physical Object
FormatElectronic resource
ID Numbers
Open LibraryOL3476201M
LC Control Number2005615666

Download High-frequency contagion between the exchange rates and stock prices

Downloadable. This paper analyzes the co-movement of the exchange rates and the stock prices from the viewpoint of contagion among the eight countries in the region during the period of Asian currency crisis, Ito and Hashimoto (; NBER working paper) proposed a new definition of high-frequency contagion using daily exchange rate data.

Then contagion is defined not only among the exchange rates and stock prices separately, but also between an exchange rate and a stock price of the same country or of different countries. One of. High-frequency contagion between the exchange rates and stock prices. Cambridge, Mass.: National Bureau of Economic Research, © (OCoLC) Material Type: Internet resource: Document Type: Book, Internet Resource: All Authors / Contributors: Yuko Hashimoto; Takatoshi Itō; National Bureau of Economic Research.

Downloadable. This paper analyzes the co-movement of the exchange rates and the stock prices from the viewpoint of contagion among the eight countries in the region during the period of Asian currency crisis, Ito and Hashimoto (; NBER working paper) proposed a new definition of high-frequency contagion, impacts from the crisis origin country to another country, using daily.

Then contagion is defined not only among the exchange rates and stock prices separately, but also between an exchange rate and a stock price of the same country or of different countries.

High-frequency contagion between the exchange rates and stock prices. [Yuko Hashimoto; Takatoshi Itō; National Bureau of Economic Research.] -- "This paper analyzes the co-movement of the exchange rates and the stock prices from the viewpoint of contagion among the eight countries in the region during the period of Asian currency crisis.

The paper examines the long and short run relationship between stock prices and exchange rate in the context of Pakistan. We used monthly data of KSE index and PKR/US$ and applied Cointigration, correlation and standard granger causality tests to check the long and short run association between stock prices and exchange rate.

The last 25 years have been characterized by a remarkable increase in international capital mobility. While gross cross-border transactions in bond and equity for the United States were equivalent to only 4% of GDP inthis share increased Cited by: This paper analyses the link between exchange rates and stock markets in four Central and Eastern European countries.

We simultaneously explore the comovements of foreign exchange markets and stock markets at the cross-country level and the link between these two markets within each country while employing a Dynamic Conditional Correlation Mixed Data Sampling (DCC-MIDAS) by: 2. Using daily data from the Asian currency crisis, the present paper examines high‐frequency contagion effects among six Asian countries.

The ‘origin’ (of exchange rate depreciation, or decline in stock prices) and the ‘affected’ (currencies, or stock prices) in the daily spillover relationship were defined and identified.

Indonesia is found to be the main origin country, affecting. Following the financial crisis in East Asia, the issue of contagion has resurfaced. Contagion has most often been associated with high frequency events; hence, it has been measured with changes in stock market returns, interest rates, exchange rates, or linear combinations of these indicators.

Abstract. The issue of whether financial markets around the world have become more and more dependent in recent years has received much attention from academics, investors, fund managers and policymakers as it is central to asset pricing, risk management and policy by: 1.

NYUSA Abstract The development of high frequency data bases allows for empirical investigations of a wide range of issues in the financial markets. In this paper, we set out some of the many important issues connected with the use, analysis, and application of high-frequency data by: Say Alice asks for for 5 stocks, Rob asks for 5 stocks.

Bob really wants to buy the stocks, so he bids $ for 10 stocks. Does Bob actually pays * 5 + * 5 + fee, or * 10 + fee?. For the world, the average reduction in shipment time will range between and percent, leading to reduction of aggregate trade costs between and percent.

For Belt and Road economies, the change in shipment times and trade costs will range between and percent and and percent, respectively. Introduction. One of the most substantial changes in financial markets during the past decade is the proliferation of algorithmic trading (AT) and high frequency trading (HFT).

1 While estimates of the scale of HFT activity vary depending on the market and how broadly HFT is defined, there is no doubt HFT accounts for a large share of trading volume in most developed by: 2.

In this study, Panel Vector Autoregression (PVAR) models are used to determine the impacts of exchange rate volatility on industrial production growth rate, consumer price inflation, short-term interest rates and stock returns for 10 OECD countries.

The variance decompositions (VDCs) found that exchange rate volatility can be a secondary factor for the variations in immediate interest rates Author: Oguzhan Ozcelebi. of using high-frequency data to construct estimates of the daily realized volatility of a single asset.

Andersen et al. () formalized the definition, which was applied to equity markets in Andersen, Bollerslev, Diebold, and Ebens () and exchange rates. Investors dismissed sky-high valuations—it really is different this time, they said—only to see the market crash in The phrase, however, or at least its context, is misplaced, argues Author: Anora Mahmudova.

after the NASDAQ peak. The speculative bubble on the Russian telecommunication stock market was determined by the events in the Russian stock market, but was influenced by news and attitudes toward telecommunications stocks in the USA.

Key words: speculative bubble, stock market bubble, contagion JEL: G12, G14, G15 References 1. Algorithmic and high frequency trading in Asia-Pacific, Copula model dependency between oil prices and stock markets: The impact of exchange rates on stock market returns: new evidence from seven free-floating currencies Academic Article.

Real exchange rates and the relative prices of non-traded and traded goods: an empirical analysis (pdf) Rule-based monetary policy under central bank learning (pdf) The effects of stock market movements on consumption and investment: does the shock matter.

Stock prices dropped sharply across emerging markets and the developed world. As security prices fell, the capital of investors and financial firms was eroded, liquidity withdrew from markets, volatility increased, and credit spreads for sovereign debt widened globally, abruptly and simultaneously.

Focusing on the cointegrating relationship between cumulative order flow and the exchange rate of the RMB against the US dollar, this research find that in the new Chinese exchange rate regime in place sinceorder flow is able to explain a significant part of fluctuations in the RMB-dollar exchange : WENTING ZHANG.

The accurate forecast of the foreign currencies exchange rates at the ultra high frequency electronic trading in the foreign currencies exchange markets is a main topic of our research: 1) the present state of the foreign currencies exchange markets in Asia, Europe and North America; 2) the research review on the classic forecast techniques of the foreign currencies exchange rates dynamics in.

Financial press has long asserted that stock prices and exchange rates are closely intertwined. In the early s, the depreciation of the dollar against the euro and other major currencies, it is argued, put pressure on investor sentiment and the U.S.

stock by: GE has only one stock but more than 1, types of bonds with different yields, maturities, and even currency denominations. 4 There are roughly 5, stocks trading on major exchanges in the U.S., while there are likely hundreds of thousands of different bonds. 5 An exchange for all.

The High-Frequency Response of Exchange Rates and Interest Rates to Macroeconomic Announcements (PDF) Jon Faust, John H. Rogers, Shing-Yi B. Wang, and Jonathan H.

Wright Abstract: Many recent papers have studied movements in stock, bond, and currency prices over short windows of time around macro announcements. [Chap9] Arouri, M., H. et Jawadi, F. (), "Oil Prices and Exchange Rates: Some New Evidence using Linear and Nonlinear Models", in Nonlinear Modeling of Economic and Financial Time-Series, sous la direction de W.

Barnett et F. Jawadi (Eds), Emerald Group Publishing Limited, UK. Mussa M Empirical regularities in the behaviour of exchange rates and theories of the foreign exchange market in Brunner K, Meltzer A H (editors) Policies for employment, prices and exchange rates Carnegie-Rochester Conference Series on Public Policy 11 North-Holland Publishing Company Elsevier Amsterdam The Netherlands pp 9 – Figure 3: A comparison of the performance of major stock indexes between December and December (buy-and-hold returns of one unit of investment, adjusted for.

Li-Ling Su, Xiong-Fei Jiang, Sai-Ping Li, Li-Xin Zhong and Fei Ren, Dynamic structure of stock communities: a comparative study between stock returns and turnover rates, The European Physical Journal B, 90, 7, ().Cited by:   The Gaussian assumption may not be appropriate for risk estimation techniques in some situations.

In this study, we used the extreme value theory (EVT) to examine more precisely the tail distribution of market risk and incorporate high dimensional copulas to Author: Apiwat Ayusuk, Apiwat Ayusuk, Songsak Sriboonchitta. Reference: Brooks, C.

and Hinich, M. () Detecting intraday periodicities with application to high frequency exchange rates. Journal of the Royal Statistical. Based on the canonical vine (C-vine) copula approach, this paper examines the interdependence between the exchange rates of the Chinese Yuan (CNY) and the currencies of major Association of Southeast Asian Nations (ASEAN) countries.

The differences in the dependence structure and degree between currencies before and after the Belt and Road (B&R) Initiative were compared in order to Cited by: 1.

Secretary Securities and Exchange Commission F Street, NE Washington, D.C. Re: File No. S Dear Ms. Murphy: This submission is made on behalf of Tradeworx, Inc., in response to the Securities and Exchange Commission's request for comments on equity market structure issues.

Tradeworx was founded in Kevin P. Evans and Alan E.H. Speight, Dynamic news effects in high frequency Euro exchange rates, Journal of International Financial Markets, Institutions and Money, 20, 3, (), ().

Crossref Mohd Nizal Haniff and Wee Ching Pok, Intraday volatility and periodicity in the Malaysian stock returns, Research in International Business and Cited by: Stack Exchange network consists of Q&A communities including Stack Overflow, Clearly there is a strong relationship between credit spreads and equity prices (both theoretically and empirically).

Having read a couple of papers and book chapters on high-frequency data forecasting, I'm surprised (and confused) that the same time series.

We study the impact of algorithmic trading (AT) in the foreign exchange market using a long time series of high‐frequency data that identify computer‐generated trading activity.

We find that AT causes an improvement in two measures of price efficiency: the frequency of triangular arbitrage opportunities and the autocorrelation of high. The Structure of Interlinkages, Exogeneity and Contagion in the Stock Market and Foreign Exchange Market in Indonesia: A Study of Pre-Crisis and Crisis Times Number of pages: 32 Posted: 10 May Zaäfri A.

Contagion Channels between Real Estate and Financial Markets Contagion Channels between Real Estate and Financial Markets Hoesli, Martin; Reka, Kustrim The extreme events that unfolded in – in real estate and financial markets, and which continued with the debt crisis and the threat of its propagation to many countries, have created a need for a better.Computational Experiments Successfully Predict the Emergence of Autocorrelations in Ultra-High-Frequency Stock Returns Jian Zhou, Gao-Feng Gu, Zhi-Qiang Jiang, Xiong Xiong and Wei Chen et al.

24 August | Computational Economics, Vol. 50, No. 4.The exchange rate between two currencies expressed as the ratio of two foreign exchange rates that are both expressed in terms of a third currency. Foreign exchange rate between two currencies other than the U.S.

dollar, the currency in which most exchanges are usually quoted. Currency.

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