Event-Driven Changes in Volatility Connectedness in Global Forex Markets

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F25%3A43926294" target="_blank" >RIV/62156489:43110/25:43926294 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/00216208:11230/25:10510397

Výsledek na webu

<a href="https://doi.org/10.1016/j.mulfin.2024.100896" target="_blank" >https://doi.org/10.1016/j.mulfin.2024.100896</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.mulfin.2024.100896" target="_blank" >10.1016/j.mulfin.2024.100896</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Event-Driven Changes in Volatility Connectedness in Global Forex Markets

Popis výsledku v původním jazyce

Using novel methods, we comprehensively analyze volatility connectedness among most traded currencies using high-frequency data from 2009 to 2023. Our study presents the first empirical evidence of a statistically significant association between increases in connectedness and endogenously selected impactful events for most traded currencies. Moreover, we uncover the previously unexplored relationship between twenty-three events affecting global forex connectedness up to one business month ahead and further analyze pre-event connectedness changes. We also distinguish between the transitory and permanent impacts of events on connectedness and confirm the association of four events with a permanent shift in connectedness; two events are associated with the EU and US debt crises. We compute the portfolio weights and hedge ratios for portfolio optimization and uncover the Swiss franc and Japanese yen as the most suitable tools for managing currency risk. The effects of intra-day currency depreciation versus appreciation against the U.S. dollar differ significantly, but the extent of asymmetries declines over time.

Název v anglickém jazyce

Event-Driven Changes in Volatility Connectedness in Global Forex Markets

Popis výsledku anglicky

Using novel methods, we comprehensively analyze volatility connectedness among most traded currencies using high-frequency data from 2009 to 2023. Our study presents the first empirical evidence of a statistically significant association between increases in connectedness and endogenously selected impactful events for most traded currencies. Moreover, we uncover the previously unexplored relationship between twenty-three events affecting global forex connectedness up to one business month ahead and further analyze pre-event connectedness changes. We also distinguish between the transitory and permanent impacts of events on connectedness and confirm the association of four events with a permanent shift in connectedness; two events are associated with the EU and US debt crises. We compute the portfolio weights and hedge ratios for portfolio optimization and uncover the Swiss franc and Japanese yen as the most suitable tools for managing currency risk. The effects of intra-day currency depreciation versus appreciation against the U.S. dollar differ significantly, but the extent of asymmetries declines over time.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/GA22-34451S" target="_blank" >GA22-34451S: Nové metody v oceňování vládního dluhu: nejistota a hospodářsko-politické implikace</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2025

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of Multinational Financial Management

ISSN

1042-444X

e-ISSN

1873-1309

Svazek periodika

77

Číslo periodika v rámci svazku

March

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

18

Strana od-do

100896

Kód UT WoS článku

001404962200001

EID výsledku v databázi Scopus

2-s2.0-85215414237