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Investor attention and FX market volatility

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

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Abstract

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.

Item Type: Article
Subjects: Research Publications
Departments: College of Business, Law, Education and Social Sciences > Bangor Business School
Date Deposited: 02 Jul 2015 02:09
Last Modified: 19 May 2016 02:51
ISSN: 1042-4431
URI: http://e.bangor.ac.uk/id/eprint/4706
Identification Number: DOI: 10.1016/j.intfin.2015.05.001
Publisher: Elsevier
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