Investor attention and FX market volatility

Allbwn ymchwil: Cyfraniad at gyfnodolynErthygl

Fersiynau electronig

Dogfennau

Dangosydd eitem ddigidol (DOI)

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 wreiddiolSaesneg
Tudalennau (o-i)79-96
CyfnodolynJournal of International Financial Markets, Institutions and Money
Cyfrol38
Dynodwyr Gwrthrych Digidol (DOIs)
StatwsCyhoeddwyd - 19 Mai 2015

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