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Investor attention and FX market volatility

Goddard, John, Kita, Arben and Wang, Qingwei 2015. Investor attention and FX market volatility. Journal of International Financial Markets, Institutions and Money 38 , pp. 79-96. 10.1016/j.intfin.2015.05.001

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Abstract

We study the relationship between investors’ active attention, measured by a Google search volume index (SVI), and the dynamics of currency prices. Investor attention is correlated with the trading activities of large FX market participants. Investor attention comoves with comtemporaneous FX market volatility and predicts subsequent FX market volatility, after controlling for macroeconomic fundamentals. In addition, investor attention is related to the currency risk premium. Our results suggest that investor attention is a priced source of risk in FX markets.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Business (Including Economics)
Subjects: H Social Sciences > HG Finance
Additional Information: Available online 19 May 2015 Pdf uploaded in accordance with publisher's policy at http://www.sherpa.ac.uk/romeo/issn/1042-4431/ (accessed 21.05.15).
Publisher: Elsevier
ISSN: 1042-4431
Date of First Compliant Deposit: 30 March 2016
Date of Acceptance: 14 May 2015
Last Modified: 20 Mar 2019 16:54
URI: http://orca.cf.ac.uk/id/eprint/73438

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