The relationship between currency carry trades and U.S. stocks

被引：21

作者：

Tse, Yiuman ^{[1
]}

Zhao, Lin ^{[1
]}

机构：

[1] Univ Texas San Antonio, Coll Business, Dept Finance, US Global Investors Inc, San Antonio, TX 78249 USA

来源：

JOURNAL OF FUTURES MARKETS | 2012年 / 32卷 / 03期

关键词：

METEOR-SHOWERS; INTERNATIONAL TRANSMISSION; VOLATILITY SPILLOVERS; ASYMMETRIC VOLATILITY; INTRADAY VOLATILITY; PRICE DISCOVERY; HEAT WAVES; RETURNS; INDEX; RISK;

D O I：

10.1002/fut.20516

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The article examines the relationship between daily returns of currency carry trades and U.S. stocks from January 1995 through September 2010. Carry trade and stock returns are highly correlated with no Granger-causality in either direction. An EGARCH model shows that significant volatility spillovers flow from the stock market to the carry-trade market, but not vice versa. The markets are more correlated in periods of high volatility. Volatilities in both markets also increase more with negative innovations than positive innovations. A sectoral analysis of the index suggests that volatilities of cyclical stocks have more impact than noncyclical stocks on carry trades.

引用

页码：252 / 271

页数：20

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