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FX Market Returns and Their Relationship to Investor Fear

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  • Lee A. Smales
  • Jardee N. Kininmonth

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  • Lee A. Smales & Jardee N. Kininmonth, 2016. "FX Market Returns and Their Relationship to Investor Fear," International Review of Finance, International Review of Finance Ltd., vol. 16(4), pages 659-675, December.
    • Handle: RePEc:bla:irvfin:v:16:y:2016:i:4:p:659-675
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    File URL: http://hdl.handle.net/10.1111/irfi.12083
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    6. Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2009. "Carry Trades and Currency Crashes," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 313-347, National Bureau of Economic Research, Inc.
    7. Baba, Naohiko & Packer, Frank, 2009. "From turmoil to crisis: Dislocations in the FX swap market before and after the failure of Lehman Brothers," Journal of International Money and Finance, Elsevier, vol. 28(8), pages 1350-1374, December.
    8. Smales, Lee A., 2014. "News sentiment and the investor fear gauge," Finance Research Letters, Elsevier, vol. 11(2), pages 122-130.
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    11. Fama, Eugene F., 1984. "Forward and spot exchange rates," Journal of Monetary Economics, Elsevier, vol. 14(3), pages 319-338, November.
    12. Baba, Naohiko & Packer, Frank, 2009. "Interpreting deviations from covered interest parity during the financial market turmoil of 2007-08," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 1953-1962, November.
    13. Zapatero, Fernando, 1995. "Equilibrium asset prices and exchange rates," Journal of Economic Dynamics and Control, Elsevier, vol. 19(4), pages 787-811, May.
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    15. Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2012. "Carry Trades and Global Foreign Exchange Volatility," Journal of Finance, American Finance Association, vol. 67(2), pages 681-718, April.
    16. Yiuman Tse & Lin Zhao, 2012. "The relationship between currency carry trades and U.S. stocks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(3), pages 252-271, March.
    17. Cumperayot, Phornchanok & Keijzer, Tjeert & Kouwenberg, Roy, 2006. "Linkages between extreme stock market and currency returns," Journal of International Money and Finance, Elsevier, vol. 25(3), pages 528-550, April.
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    Cited by:

    1. Zeng, Qing & Lu, Xinjie & Li, Tao & Wu, Lan, 2022. "Jumps and stock market variance during the COVID-19 pandemic: Evidence from international stock markets," Finance Research Letters, Elsevier, vol. 48(C).
    2. Emilio Colombo & Gianfranco Forte & Roberto Rossignoli, 2019. "Carry Trade Returns with Support Vector Machines," International Review of Finance, International Review of Finance Ltd., vol. 19(3), pages 483-504, September.
    3. Lucian Liviu ALBU & Radu LUPU & Adrian Cantemir CĂLIN & Iulia LUPU, 2019. "Nonlinear Modeling of Financial Stability Using Default Probabilities from the Capital Market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 19-37, March.
    4. Lee A. Smales, 2017. "Effect of investor fear on Australian financial markets," Applied Economics Letters, Taylor & Francis Journals, vol. 24(16), pages 1148-1153, September.
    5. Nepp, Alexander & Okhrin, Ostap & Egorova, Julia & Dzhuraeva, Zarnigor & Zykov, Alexander, 2022. "What threatens stock markets more - The coronavirus or the hype around it?," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 519-539.
    6. Smales, Lee A., 2020. "Examining the relationship between policy uncertainty and market uncertainty across the G7," International Review of Financial Analysis, Elsevier, vol. 71(C).
    7. Smales, L.A., 2016. "Risk-on/Risk-off: Financial market response to investor fear," Finance Research Letters, Elsevier, vol. 17(C), pages 125-134.

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