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Thesis University of Iceland > Félagsvísindasvið > Meistaraprófsritgerðir - Félagsvísindasvið >

Please use this identifier to cite or link to this item: http://hdl.handle.net/1946/3587

  • Title is in Icelandic Volume and Volatility in the Icelandic Foreign Exchange Market
Other Titles: 
  • Other Titles is in Icelandic Velta og flökt á íslenska gjaldeyrismarkaðnum
  • Abstract is in Icelandic

    In this study we examine the relationship between trading volumes and volatility in the Icelandic foreign exchange interbank market using a data set spanning more than seven years. We review the theoretical and empirical literature on the relationship between trading volumes and volatility and discuss the econometric methodology employed. Theory predicts that trading volumes and volatility are positively correlated and a large number of empirical studies from a variety of different market settings have found this to be the case. The results of this study indicate that this is also holds true for the Icelandic interbank market. Furthermore, we find that the relationship is stronger in times of high volatility than low volatility.

  • Sep 21, 2009
  • http://hdl.handle.net/1946/3587

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