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The purpose of this study is to discover and model the asymmetry in the price volatility of financial markets, in particular the foreign exchange markets as the first underlying applications.

The volatility of the financial market price is usually defined with the standard deviation or variance of the price or price returns. This standard definition of volatility is split into the upper part and the lower one, which are termed here as Yang volatility and Yin volatility. However, the definition of yin‐yang volatility depends on the scale of the time, thus the notion of scale space of price‐time is also introduced.

It turns out that the duality of yin‐yang volatility expresses not only the asymmetry of price volatility, but also the information about the trend. The yin‐yang volatilities in the scale space of price‐time provide a complete representation of the information about the multi‐level trends and asymmetric volatilities. Such a representation is useful for designing strategies in market risk management and technical trading. A trading robot (a complete automated trading system) was developed using yin‐yang volatility, its performance is shown to be non‐trivial. The notion and model of yin‐yang volatility has opened up new possibilities to rewrite the option pricing formulas, the GARCH models, as well as to develop new comprehensive models for foreign exchange markets.

The asymmetry of price volatility and the magnitude of volatility in the scale space of price‐time has yet to be united in a more coherent model.

The new model of yin‐yang volatility and scale space of price‐time provides a new theoretical structure for financial market risk. It is likely to enable a new generation of core technologies for market risk management and technical trading strategies.

This work is original. The new notion and model of yin‐yang volatility in scale space of price‐time has cracked up the core structure of the financial market risk. It is likely to open up new possibilities such as: a new portfolio theory with a new objective function to minimize the sum of the absolute yin‐volatilities of the asset returns, a new option pricing theory using yin‐yang volatility to replace the symmetric volatility, a new GARCH model aiming to model the dynamics of yin‐yang volatility instead of the symmetric volatility, new technical trading strategies as are shown in the paper.

This study aims to evaluate the compliance of online Islamic FOREX products with Islamic jurisprudence principles and determines the degree of similarity or difference between Islamic and conventional FOREX products.

This study involves the collection and analysis of secondary data from online sources (i.e. four Islamic FOREX Web sites selected on the basis that they appeared on two Islamic FOREX Web site lists) It also undertakes content analysis of the rulings of jurisprudence scholars on one of the Web sites.

There is no evidence to suggest that the technical processes underpinning current Islamic FOREX products are any different to those underpinning conventional FOREX products. Also there are major contradiction and ambiguities in the rulings offered by the jurisprudence scholars about the permissibility of the products.

The study relies on the analysis of secondary data. Further research that will involve interviews with banking industry employees in both conventional and Islamic banking sectors would provide a better understanding of: how financial products are created and managed and the role of bank regulations in creating and managing different financial products.

It would seem that Islamic FOREX is simply rebranding of conventional FOREX. The paper calls for a modern-day definition of usury (riba).

The way Islamic FOREX is marketed today to online users as synonymous with gambling, and, although branded as Islamic, the actual technical processes that underpin Islamic FOREX products are the same as conventional FOREX products and therefore not compliant with Islamic principles.

This research explores the marketing of Islamic FOREX products.

This paper explores abnormal price changes in the FOREX by using both daily and intraday data on the EURUSD, USDJPY, USDCAD, AUDUSD and EURJPY exchange rates over the period 01.01.2008–31.12.2018.

It applies a dynamic trigger approach to detect abnormal price changes and then various statistical methods, including cumulative abnormal returns analysis, to test the following hypotheses: the intraday behaviour of hourly returns on overreaction days is different from that on normal days (H1), there are detectable patterns in intraday price dynamics on days with abnormal price changes (H2) and on the following days (H3).

The results suggest that there are statistically significant differences between intraday dynamics on days with abnormal price changes and normal days respectively; also, prices tend to change in the direction of the abnormal change during that day, but move in the opposite direction on the following day. Finally, there exist trading strategies that generate abnormal profits by exploiting the detected anomalies, which can be seen as evidence of market inefficiency.

New evidence on abnormal price changes and related trading strategies in the FOREX.

This paper aims to examine whether the volatility of returns in commodity (gold, oil), bond and forex markets is related over time to the volatility of returns in equity markets of Bangladesh, Indonesia, Pakistan, Philippines, Turkey and Vietnam. In addition, the authors analyze the integration of the commodity, bond, forex and equity markets across these markets.

The dynamic conditional correlation GARCH (DCC-GARCH) model is used to capture the time-varying conditional correlation among markets. The authors use daily data of stock prices, oil prices, gold prices, exchange rates and 10 years' bond yields of the six countries from Datastream and investing.com from January 2001 to April 2021.

Findings reveal that the parameters of dynamic correlation are statistically significant which indicates the importance of time-varying co-movements. Estimation of the DCC-GARCH model suggests that the stock market is significantly correlated with bond, forex, gold and oil markets in all six countries.

This study has practical implications for policymakers and investment professionals. A better understanding of dynamic linkages among the markets would help in constructing effective hedging and portfolio diversification strategies. Policy makers can get insight to build proper strategies in order to insulate the economy from factors that cause volatility.

Several studies have investigated the linkage between commodity and stock markets and the volatility spillover effect, but very little attention is given to study the interrelationship between groups of market segments of different economies. No study has comparatively examined the dynamic relationship of multiple markets of a group of emerging countries simultaneously.

The study measures the total systemic risks and connectedness across commodities, stocks, exchange rates and bond markets in Africa during the Covid-19 pandemic.

The study uses the Diebold-Yilmaz spillover and connectedness measures in a generalized VAR framework. The author calculates the net transmitters or receivers of shocks between two assets and visualizes their strength using a network analysis tool.

The study found low systemic risks across all assets and countries. However, we found higher systemic risks in the forex market than in the stock and bond markets, and in South Africa than in other countries. The dynamic analysis found time-varying connectedness return shocks, which increased during the peak periods of the first and second waves of the pandemic. We found both gold and oil as net receivers of shocks. Overall, over half of all assets were net receivers, and others were net transmitters of return shocks. The network connectedness plot shows high net pairwise connectedness from Morocco to South Africa stock market.

The study has implications for policymakers to develop the capacities of local investors and markets to limit portfolio outflows during a crisis.

Previous studies have analyzed spillovers across asset classes in a single country or a single asset across countries. This paper contributes to the literature on network connectedness across assets and countries.

The authors examine the impact of coronavirus disease 2019 (COVID-19) pandemic on the stock market, forex market and gold market of Pakistan.

By using the daily data of COVID-19 confirmed cases, stock index, foreign currency rates and gold prices for the period 10 March 2020 to 16 October 2020, the authors explore that the stock index negatively responds to the corona pandemic.

Additionally, the authors observe the price hikes in gold and foreign currency corresponding to the number of COVID-19 positive cases.

The study analysis unveils that the stock market adversely responds to a pandemic, whereas, forex and gold markets serve as a safe haven for investors at the time of financial distress.

This study complements the literature and provides empirical evidence of the stock market, the gold market and foreign currency market, in the perspective of Pakistan.

Corporate treasurers manage the currency risk of their organization by hedging through futures contracts. The purpose of this paper is to evaluate the effectiveness of hedging by US currency futures contracts by taking into account the efficiency of the currency market.

The static models for calculating hedge ratio are as popular as dynamic models. But the main disadvantage with the static models is that they do not consider important properties of time series like autocorrelation and heteroskedasticity of the residuals and also ignore the cointegration of the market variables which indicate short-run market disequilibrium. The present study, therefore, measures the hedging effectiveness in the US currency futures market using two dynamic models – constant conditional correlation multivariate generalized ARCH (CCC-MGARCH) and dynamic conditional correlation multivariate GARCH (DCC-MGARCH).

The study finds that both the dynamic models used in the study provide similar results. The relative comparison of CCC-MGARCH and DCC-MGARCH models shows that CCC-MGARCH provides better hedging effectiveness result, and thus, should be preferred over the other model.

The findings of the study are important for the company treasurers since the new updated Indian accounting standards (Ind-AS), applicable from the financial year 2016–2017, make it mandatory for the companies to evaluate the effectiveness of hedges. These standards do not specify a quantitative method of evaluation but provide the flexibility to the companies in choosing an appropriate method which justifies their risk management objective. These results are also useful for the policy makers as they can specify and list the appropriate methods for evaluating the hedge effectiveness in the currency market.

Majorly, the studies on Indian financial market limit themselves to either examining the efficiency of that market or to evaluate the effectiveness of the hedges undertaken. Moreover, most of such works focus on the stock market or the commodity market in India. This is one of the first studies which bring together the concepts of efficiency of the market and effectiveness of the hedges in the Indian currency futures market.

In this paper the techniques of zero-non-zero (ZNZ) patterned vector autoregressive modelling are utilized to examine two issues associated with the European single currency – the euro. First, “Granger causality” is employed to examine the causal linkages between the euro exchange rate, the euro area money supply and the gross domestic product (GDP) growth in the euro area. Second, we examine the hypothesis that the euro has become a major influence on international stock markets by testing for the causal relationships between movements in the euro exchange rate, the U.K. pound exchange rate and the London stock market index.