Investor attention and FX market volatility

John Goddard; Arben Kita; Qingwei Wang

doi:10.1016/j.intfin.2015.05.001

Investor attention and FX market volatility

John Goddard, Arben Kita, Qingwei Wang

Allbwn ymchwil: Cyfraniad at gyfnodolyn › Erthygl › adolygiad gan gymheiriaid

72 Dyfyniadau(SciVal)

Crynodeb

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.

Iaith wreiddiol	Saesneg
Tudalennau (o-i)	79-96
Nifer y tudalennau	18
Cyfnodolyn	Journal of International Financial Markets, Institutions and Money
Cyfrol	38
Dyddiad ar-lein cynnar	19 Mai 2015
Dynodwyr Gwrthrych Digidol (DOIs)	https://doi.org/10.1016/j.intfin.2015.05.001
Statws	Cyhoeddwyd - 01 Medi 2015
Cyhoeddwyd yn allanol	Ie

Mynediad at Ddogfen

10.1016/j.intfin.2015.05.001

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Dolen barhaus

Dyfynnu hyn

@article{6418050d075740d5a98ce57aee0514fe,

title = "Investor attention and FX market volatility",

abstract = "We study the relationship between investors{\textquoteright} 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.",

keywords = "investor attention, FX volatility, option pricing, GARCH",

author = "John Goddard and Arben Kita and Qingwei Wang",

year = "2015",

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doi = "10.1016/j.intfin.2015.05.001",

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journal = "Journal of International Financial Markets, Institutions and Money",

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AU - Goddard, John

AU - Kita, Arben

AU - Wang, Qingwei

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N2 - 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.

AB - 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.

KW - investor attention

KW - FX volatility

KW - option pricing

KW - GARCH

U2 - 10.1016/j.intfin.2015.05.001

DO - 10.1016/j.intfin.2015.05.001

M3 - Article

SN - 1042-4431

VL - 38

SP - 79

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JO - Journal of International Financial Markets, Institutions and Money

JF - Journal of International Financial Markets, Institutions and Money

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Investor attention and FX market volatility

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