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Effect of exchange rate return on volatility spill-over across trading regions

Galagedera, Don U.A.; Kitamura, Yoshihiro - In: Japan and the World Economy 24 (2012) 4, pp. 254-265

This paper examines the effect of realized exchange rate returns on the volatility spill-over between the euro–US dollar and US dollar–yen currency pairs across the five trading regions: Asia, Asia–Europe overlap, Europe, Europe–America overlap and America. Modelling the interaction...

Persistent link: https://www.econbiz.de/10010595049

A review of capital asset pricing models

Galagedera, Don U.A. - In: Managerial Finance 33 (2007) 10, pp. 821-832

Purpose – The main aspect of security analysis is its valuation through a relationship between the security return and the associated risk. The purpose of this paper is to review the traditional capital asset pricing model (CAPM) and its variants adopted in empirical investigations of asset...

Persistent link: https://www.econbiz.de/10014939954

Predicting a flash crash in the yen/dollar foreign exchange market

Kitamura, Yoshihiro - In: Applied economics letters 24 (2017) 13/15, pp. 987-990

Persistent link: https://www.econbiz.de/10011716501

Does the simple microstructure model tell the time of the FX intervention? A one day analysis of the Japanese FX intervention

Kitamura, Yoshihiro - In: Research in international business and finance 36 (2016), pp. 436-446

Persistent link: https://www.econbiz.de/10011594524

A stopping time approach to assessing the effectiveness of foreign exchange intervention : an application to Japanese data

Kitamura, Yoshihiro - In: Journal of international money and finance 75 (2017), pp. 32-46

Persistent link: https://www.econbiz.de/10011788020

Simple measures of market efficiency : a study in foreign exchange markets

Kitamura, Yoshihiro - In: Japan and the world economy : international journal of … 41 (2017), pp. 1-16

Persistent link: https://www.econbiz.de/10011849836

The probability of informed trading measured with price impact, price reversal, and volatility

Kitamura, Yoshihiro - In: Journal of international financial markets, … 42 (2016), pp. 77-90

Persistent link: https://www.econbiz.de/10011673417

A lesson from the four recent large public Japanese FX interventions

Kitamura, Yoshihiro - In: Journal of the Japanese and international economies : … 57 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012800623

Information arrival, interest rate differentials, and yen/dollar exchange rate

Kitamura, Yoshihiro; Akiba, Hiroya - In: Japan and the World Economy 18 (2006) 1, pp. 108-119

Persistent link: https://www.econbiz.de/10005445297

Intraday evidence of the informational efficiency of the yen/dollar exchange rate

Iwatsubo, Kentaro; Kitamura, Yoshihiro - In: Applied Financial Economics 19 (2009) 14, pp. 1103-1115

The informational efficiency of the yen/dollar exchange rate is investigated in five market segments within each business day from 1987 to 2007. Among the results, we first find that the daily exchange rate has a cointegrating relationship with the cumulative price change of the segment for...

Persistent link: https://www.econbiz.de/10004966764