Investor attention and FX market volatility

Research output: Contribution to journalArticlepeer-review

Standard Standard

Investor attention and FX market volatility. / Goddard, J.A.; Kita, A.; Wang, Q.
In: Journal of International Financial Markets, Institutions and Money, Vol. 38, 19.05.2015, p. 79-96.

Research output: Contribution to journalArticlepeer-review

HarvardHarvard

Goddard, JA, Kita, A & Wang, Q 2015, 'Investor attention and FX market volatility', Journal of International Financial Markets, Institutions and Money, vol. 38, pp. 79-96. https://doi.org/10.1016/j.intfin.2015.05.001

APA

Goddard, J. A., Kita, A., & Wang, Q. (2015). Investor attention and FX market volatility. Journal of International Financial Markets, Institutions and Money, 38, 79-96. https://doi.org/10.1016/j.intfin.2015.05.001

CBE

Goddard JA, Kita A, Wang Q. 2015. Investor attention and FX market volatility. Journal of International Financial Markets, Institutions and Money. 38:79-96. https://doi.org/10.1016/j.intfin.2015.05.001

MLA

Goddard, J.A., A. Kita and Q. Wang. "Investor attention and FX market volatility". Journal of International Financial Markets, Institutions and Money. 2015, 38. 79-96. https://doi.org/10.1016/j.intfin.2015.05.001

VancouverVancouver

Goddard JA, Kita A, Wang Q. Investor attention and FX market volatility. Journal of International Financial Markets, Institutions and Money. 2015 May 19;38:79-96. doi: 10.1016/j.intfin.2015.05.001

Author

Goddard, J.A. ; Kita, A. ; Wang, Q. / Investor attention and FX market volatility. In: Journal of International Financial Markets, Institutions and Money. 2015 ; Vol. 38. pp. 79-96.

RIS

TY - JOUR

T1 - Investor attention and FX market volatility

AU - Goddard, J.A.

AU - Kita, A.

AU - Wang, Q.

PY - 2015/5/19

Y1 - 2015/5/19

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.

U2 - 10.1016/j.intfin.2015.05.001

DO - 10.1016/j.intfin.2015.05.001

M3 - Article

VL - 38

SP - 79

EP - 96

JO - Journal of International Financial Markets, Institutions and Money

JF - Journal of International Financial Markets, Institutions and Money

SN - 1042-4431

ER -