Does data frequency matter for the impact of forward premium on spot exchange rate?

Narayan,PK and Sharma,SS 2015, Does data frequency matter for the impact of forward premium on spot exchange rate?, International Review of Financial Analysis, vol. 39, pp. 45-53, doi: 10.1016/j.irfa.2015.01.011.

Attached Files
Name Description MIMEType Size Downloads

Title Does data frequency matter for the impact of forward premium on spot exchange rate?
Author(s) Narayan,PKORCID iD for Narayan,PK orcid.org/0000-0001-7934-8146
Sharma,SSORCID iD for Sharma,SS orcid.org/0000-0002-7297-1557
Journal name International Review of Financial Analysis
Volume number 39
Start page 45
End page 53
Publisher Elsevier Inc.
Publication date 2015-05
ISSN 1057-5219
Keyword(s) Data frequency
Exchange rate
Forward premium
Investors
Summary In this paper we take the forward premium and exchange rate literature forward by asking whether data frequency matters in that relationship. We use four frequencies of data, namely, quarterly, monthly, weekly and daily. We find that data frequencies matter both statistically and economically. More specifically, we document that investors prefer the forward premium model over a constant returns model in most countries when models are estimated using daily, weekly, and quarterly data, but not when using monthly data.
Language eng
DOI 10.1016/j.irfa.2015.01.011
Field of Research 150202 Financial Econometrics
Socio Economic Objective 919999 Economic Framework not elsewhere classified
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2015, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30073149

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
Connect to link resolver
 
Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved.

Versions
Version Filter Type
Citation counts: TR Web of Science Citation Count  Cited 55 times in TR Web of Science
Scopus Citation Count Cited 59 times in Scopus
Google Scholar Search Google Scholar
Access Statistics: 391 Abstract Views, 2 File Downloads  -  Detailed Statistics
Created: Mon, 11 May 2015, 10:29:44 EST

Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.