The Dynamic Relationship among Currency Carry-trade ETF(DBV), S&P ETF and VIX

• Main Authors: Liu, Kuei-Fang, 劉桂芳
• Other Authors: Lee,Hsiu-Chuan
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/66194455562393360880

碩士 === 銘傳大學 === 財務金融學系碩士班 === 104 === According to the BIS annual foreign exchange market report, from 2005 to 2006, global liquidity is very abundant , due to the interest rate arbitrage between currencies. It can be said , every bull market myth behind the stock market from the crude oil futures to metal futures , have a forex carry trade funding figure. Tse and Zhao (2012)have examined the relationship between DBV and S&P 500 index returns, and find that the DBV and S&P 500 index returns are highly correlated, but the causality relationship does not exist in either direction. Tse and Zhao (2012) also document that the volatility spillovers from S&P 500 to DBV are significant, but the volatility spillovers from DBV to S&P 500 are insignificant. In particular, the DBV and stock markets are positively related because they both reflect investors’ risk appetite ,so we try to add VIX to re-examine the issue. This paper examines the causality relationship and spillovers of currency carry trade ETF returns , U.S. market returns and the difference of VIX by VAR since DBV established in 2006 and in the period separated by the financial crisis .The result showed that when VIX increased, the DBV and S&P return decreased and spillovers increased a lot during the financial crisis.