Investor attention and FX market volatility

J.A. Goddard; A. Kita; Q. Wang

doi:10.1016/j.intfin.2015.05.001

Investor attention and FX market volatility

J.A. Goddard
, A. Kita
, Q. Wang

Ysgol Busnes Albert Gubay

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

464 Wedi eu Llwytho i Lawr (Pure)

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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 contemporaneous 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
Cyfnodolyn	Journal of International Financial Markets, Institutions and Money
Cyfrol	38
Dynodwyr Gwrthrych Digidol (DOIs)	https://doi.org/10.1016/j.intfin.2015.05.001
Statws	Cyhoeddwyd - 19 Mai 2015

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10.1016/j.intfin.2015.05.001Trwydded: !!Unspecified

PDB4706-00.pdfLlawysgrif awdur wedi’i dderbyn, 231 KBTrwydded: CC BY-NC-ND

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@article{192758c3ffa445bebf7dd65b27d0f618,

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 contemporaneous 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.",

author = "J.A. Goddard and A. Kita and Q. Wang",

year = "2015",

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AU - Kita, A.

AU - Wang, Q.

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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 contemporaneous 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 contemporaneous 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.

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DO - 10.1016/j.intfin.2015.05.001

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Investor attention and FX market volatility

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