Carry Trade Returns and Segmented Risk Pricing

Schulze, Gordon

doi:10.1007/s11293-021-09698-2

Cited by 2 publications

(1 citation statement)

References 40 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…These findings provide new implications for asset-allocation strategies and risk management during turbulent market phases. Schulze (2021) investigates the unifying risk-based explanation of currency returns and stock returns when countries' interest rate differential plays a leading part in the carry-trade performance. In doing so, the author addresses carry-trade returns from a risk-pricing perspective and examines if these returns can be connected to cross-country differences in risk pricing in the interest-rate market compared to the stock market.…”

Section: Introductionmentioning

confidence: 99%

The Relationship between Carry Trade and Asset Markets in South Africa

Bonga‐Bonga

Maake

2021

JRFM

View full text Add to dashboard Cite

This paper investigates the extent of volatility or risk spillovers between the currency carry trade and asset markets, namely the equity and bond markets, in South Africa to infer the extent of the connectivity between the two markets. The carry trade operation examined in this paper involves two strategies, both of which use the South African rand as the investment currency, with the U.S. dollar and the Japanese yen as the funding currencies. The vector autoregressive BEKK-Generalised Autoregressive Conditional Heteroscedastic (multivariate VAR-BEKK-GARCH) model is used to this end. Moreover, the paper assesses the dynamic correlation between each currency carry trade and asset markets to infer the time-varying dependence between the two markets. The results of the empirical analysis show evidence of volatility spillover between the carry trade returns and the two asset market returns. The extent of the spillover depends on the choice of the funding currency, with the U.S. dollar-funded strategy transmitting more shocks to the South African equity market compared to the bond market. Moreover, the synchronisation of the dynamic correlation between each asset market and the currency carry trade returns shows that any possibility of arbitrage is precluded in the currency carry trade market.

show abstract

Section: Introductionmentioning

confidence: 99%

The Relationship between Carry Trade and Asset Markets in South Africa

Bonga‐Bonga

Maake

2021

JRFM

View full text Add to dashboard Cite

show abstract

Speculations on the Foreign Exchange Market of Ukraine

Bychenko¹

2021

VSDU

View full text Add to dashboard Cite

The foreign exchange market gives a great impetus to economic development and is one of the most critical parts of the financial market. The global daily turnover in the foreign exchange markets (FOREX) has exceeded USD 6.7 billion. At the same time, speculation in the markets gives a qualitative impetus to its development. Of course, it can partially destabilize the situation with quotations due to their ignorance, but in most cases, it is also helpful for the general state of the market. These concepts were studied by the founder of modern economics - J. Keynes, and foreign scientists M. Poyarliev and J. Levych, and Ukrainian scientists also did not bypass this issue. They considered more the peculiarities of the development of the foreign exchange market of Ukraine and the basics of its regulation. Furthermore, only a few considered the process of hedging currency risks and, in part, speculation. The primary purpose of this article is to study the role of speculation in the foreign exchange market of Ukraine and assess their impact on the foreign exchange market development in recent years. We have achieved this goal, namely to consider the main trends of the foreign exchange market in the last three years. On the positive side, Ukraine has already moved away from maintaining the exchange rate, and the NBU is trying to accumulate certain reserves. It is not easy to trace the positive dynamics in the foreign exchange market development due to the impact of pandemic-related lockdowns. There is a noticeable tendency in the market to devalue the Ukrainian hryvnia. We will also consider the types of traders and their main strategies. Pay special attention to care trade and momentum as the most profitable in the foreign exchange market. The core trade is based on the investor's desire to benefit from the difference in interest rates on different currencies, taking into account the risks. The moment is already based on technical analysis from the trader to decide to invest. This study will be helpful for both students and researchers studying financial markets, especially the foreign exchange market. Perhaps ordinary citizens of Ukraine will take it into account and expand their knowledge in the field of investment and trading in currency pairs because a similar article that would it did not concern the Ukrainian market, which is the value of this work.

show abstract

Carry Trade Returns and Segmented Risk Pricing

Cited by 2 publications

References 40 publications

The Relationship between Carry Trade and Asset Markets in South Africa

The Relationship between Carry Trade and Asset Markets in South Africa

Speculations on the Foreign Exchange Market of Ukraine

Contact Info

Product

Resources

About