Intraday Index Volatility: Evidence From Currency Adjusted Stock Indices

Abstract

A recent research stream develops currency adjusted stock indices.  The analysis in previous papers is limited to daily closing data.  This paper extends the existing body of literature by examining tick data.  We examine tick data from 2002 through 2013 for eight indices.  In general, results show the Dollar Index adjusted indices display significantly lower variation than the unadjusted indices.  Correlation between the Dollar Index and unadjusted stock indices is negative.  Both raw and Dollar index adjusted indices display departures from intra-tick symmetry.  The results also show that Dollar Index changes explain as much as fifteen percent of wealth changes.