第九十五期财务与会计学术论坛

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

 

演讲者:刘振涛,厦门大学财务管理与会计研究院副教授

 

时间: 2009年3月20日(星期五)3:00—4:30PM

 

地点: 嘉庚二501

 

参加者: 对财务研究有兴趣的广大师生

 

主持人: 沈哲老师

 

论文摘要:

 

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.

 

论文作者简介:

 

 

刘振涛博士毕业于日本一桥大学,现为厦门大学财务管理与会计研究院副教授。

 

下载: 论文.pdf