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1 Realized Volatility of the Spread: An Analysis in the Foreign Exchange Market

Bissoondoyal-Bheenick, Emawtee; Brooks, Robert; … - In: Risk management in emerging markets : issues, …, (pp. 3-35). 2016

This chapter investigates the determinants of the volatility of spread in the over-the-counter foreign exchange market and examines whether the relationships differ in the crisis periods. We compute the measures for the volatility of liquidity by using bid-ask spread data sampled at a high...

Persistent link: https://www.econbiz.de/10015366202

Cointegration and causality in the Asian and emerging foreign exchange markets : evidence from the 1990s financial crises

Au Yong, Hue Hwa; Gan, Christopher; Sirimon Treepongkaruna - In: International review of financial analysis 13 (2004) 4, pp. 479-515

Persistent link: https://www.econbiz.de/10002224923

Realizing the volatility impacts of sovereign credit ratings information on equity and currency markets : evidence from the Asian financial crisis

Sirimon Treepongkaruna; Eliza, Wu - In: Research in international business and finance 26 (2012) 3, pp. 335-352

Persistent link: https://www.econbiz.de/10009615550

Explaining the bid-ask spread in the foreign exchange market : a test of alternate models

Sirimon Treepongkaruna; Brailsford, Timothy J.; Gray, … - In: Australian journal of management 39 (2014) 4, pp. 573-591

Persistent link: https://www.econbiz.de/10010475670

Information and volatility links in the foreign exchange market

Sirimon Treepongkaruna; Gray, Stephen - In: Accounting and finance : journal of the Accounting … 49 (2009) 2, pp. 385-405

Persistent link: https://www.econbiz.de/10003859699

Realized spill-over effects between stock and foreign exchange market : evidence from regional analysis

Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna - In: Global finance journal 28 (2015), pp. 24-37

Persistent link: https://www.econbiz.de/10011478085

Thai financial markets and political change

Sutsarun Lumjiak; Sirimon Treepongkaruna; Wee, Marvin; … - In: Journal of financial management, markets and institutions 2 (2014) 1, pp. 5-26

Persistent link: https://www.econbiz.de/10011949641

Stock and currency market linkages : new evidence from realized spillovers in higher moments

Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of economics & finance : IREF 42 (2016), pp. 167-185

Persistent link: https://www.econbiz.de/10011625106

Do trading hours affect volatility links in the foreign exchange market?

Sirimon Treepongkaruna; Brooks, Robert; Gray, Stephen - In: Australian journal of management 37 (2012) 1, pp. 7-27

Persistent link: https://www.econbiz.de/10009582208

Stock and Currency Market Linkages : New Evidence from Realized Spillovers in Higher Moments

Do, Hung Xuan - 2016

We examine the linkages both within and between stock and foreign exchange (FX) markets via three higher moments of return distributions (volatility, skewness and kurtosis). We find FX market linkages (in the 2nd and 4th moments) are relatively more prominent in developed markets. Cross-asset...

Persistent link: https://www.econbiz.de/10013008544