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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