Paul Whelan receives a DKK 1.67 mill. grant from The Danish Council for Independent Research

Nyheder

Assistant professor at the Department of Finance and FRIC center member Paul Whelan receives DKK 1.67 mill. grant from The Danish Council for Independent Research to study the Foreign Exchange Dynamics Around the Clock

06/06/2019

Assistant professor at the Department of Finance and FRIC center member Paul Whelan receives DKK 1.67 mill. grant from The Danish Council for Independent Research to investigate the Foreign Exchange Dynamics Around the Clock.

The project is entitled Foreign Exchange Dynamics Around the Clock and seeks to address several questions:

What is the role of foreign exchange dealers' geographical location and the composition of domestic versus foreign traders for exchange rate dynamics and what are the implications of intraday currency movements for large and small open economies such as the Euro area and Denmark, respectively? This proposal aims to shed light on these questions by dissecting 24-hour currency returns into intraday components that distinguish between returns generated during the night and the day. Indeed, domestic financial markets open and close as the earth rotates across night and day, as people go to work in the morning and leave for home in the evening; thus, the dominant FX market participants at any point in time depend geographically where the main trading venue is located `around the clock'. Uncovering a robust geographical dependence in FX returns will constitute an important contribution to academics and in practical terms to a variety of individuals and institutions, including small, medium and large companies, central banks, and day traders.

Find more information about the grant here.

About the researcher

Paul Whelan
Paul Whelan's research interests are in the areas of theoretical and empirical asset pricing with a specific focus in fixed income markets. Paul has presented at American Finance Association, Western Finance Association, and European Finance Association meetings, and has received several awards for his research, most recently Best Paper Award at the SFS Cavalcade 2017. See more information about Paul Whelan.

Sidst opdateret: Center for Financial Frictions // 06/06/2019