95th Seminar on Finance and Accounting

Topic: Trans-guration of Foreign Exchange Market since the Euro Introduction

 

Presenter:Zhentao Liu, associate professor in finance, IFAS

 

Time: March 20, 2009(Friday)3:00—4:30PM

 

Venue: Room 501, Jiageng Bld 2

 

Abstract:

 

We con-rm that there are changes in the features of foreign exchange market since the Euro introduction through empirical experiments on 5 major exchange rate series in the world. We verify the existence of asymmetry in volatility process of JPY/USD, AUD/USD and NZD/USD while Japanese Yen appreciates and Australian Dollar and New Zealand Dollar depreciate. We also ascertain that volatility for those -ve major exchange rate series has become larger and correlation between exchange rate series has become stronger since the Euro introduction.

 

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