Efficiency of Foreign Exchange Market: a Review of Theory and Empirical Work
Author : Hoon Lim
Publisher :
Page : 90 pages
File Size : 36,81 MB
Release : 1988
Category :
ISBN :
Author : Hoon Lim
Publisher :
Page : 90 pages
File Size : 36,81 MB
Release : 1988
Category :
ISBN :
Author : R. Hodrick
Publisher : Routledge
Page : 185 pages
File Size : 50,86 MB
Release : 2014-05-01
Category : Business & Economics
ISBN : 1136455213
First Published in 2001. Routledge is an imprint of Taylor & Francis, an informa company.
Author : Robert J. Hodrick
Publisher : CRC Press
Page : 190 pages
File Size : 40,45 MB
Release : 2023-08-18
Category : Mathematics
ISBN : 1000943380
This book presents a critical review of the empirical literature that studies the efficiency of the forward and futures markets for foreign exchange. It provides a useful foundation for research in developing quantitative measures of risk and expected return in international finance.
Author : Richard T. Baillie
Publisher : Cambridge University Press
Page : 280 pages
File Size : 48,10 MB
Release : 1989
Category : Business & Economics
ISBN : 9780521396905
The flotation of exchange rates in the early 1970s saw a significant increase in the importance of foreign exchange markets and in the interest shown in them. Apart from the consequent institutional changes, this period also witnessed a revolution in macroeconomic analysis and finance theory based on the concept of rational expectations. This book provides an integrated approach to recent developments in the understanding of foreign exchange markets. It begins by charting the institutional background and looks at the recent history of movements in some of the major exchange rates. The theoretical sections focus on the economic and finance theory of the asset market approach, the macroeconomic models developed from this approach, and on interest rate parity theory. The empirical chapters draw on the authors' own research from a high quality set of exchange rate and interest rate data. The statistical properties of exchange rates are analysed; the relationship between spot and forward rates is examined; and the modelling and impact of new information on the forward and spot relationship is considered. The final chapter is devoted to the estimation and testing of exchange rate models.
Author : N. C. P. Tang
Publisher :
Page : pages
File Size : 36,58 MB
Release : 1997
Category :
ISBN :
Author : Robert J. Hodrick
Publisher :
Page : 0 pages
File Size : 37,5 MB
Release : 2018
Category : MATHEMATICS
ISBN : 9781003420385
This book presents a critical review of the empirical literature that studies the efficiency of the forward and futures markets for foreign exchange. It provides a useful foundation for research in developing quantitative measures of risk and expected return in international finance.
Author : Thomas Oberlechner
Publisher : John Wiley & Sons
Page : 278 pages
File Size : 43,65 MB
Release : 2005-07-08
Category : Business & Economics
ISBN : 0470012013
This book demystifies the foreign exchange market by focusing on the people who comprise it. Drawing on the expertise of the very professionals whose decisions help shape the market, Thomas Oberlechner describes the highly interdependent relationship between financial decision makers and news providers, showing that the assumption that the foreign exchange market is purely economic and rational has to be replaced by a more complex market psychology.
Author : Fred R. Glahe
Publisher :
Page : 76 pages
File Size : 41,25 MB
Release : 1967
Category : Business & Economics
ISBN :
Author : Craig Hakkio
Publisher : Routledge
Page : 100 pages
File Size : 44,44 MB
Release : 2017-04-21
Category : Business & Economics
ISBN : 1351801686
Originally published in 1984. This book examines two important dimensions of efficiency in the foreign exchange market using econometric techniques. It responds to the macroeconomics trend to re-examining the theories of exchange rate determination following the erratic behaviour of exchange rates in the late 1970s. In particular the text looks at the relation between spot and forward exchange rates and the term structure of the forward premium, both of which require a joint test of market efficiency and the equilibrium model. Approaches used are the regression of spot rates on lagged forward rates and an explicit time series analysis of the spot and forward rates, using data from Canada, the United Kingdom, the Netherlands, Switzerland and Germany.
Author : P. Krishnaveni
Publisher : LAP Lambert Academic Publishing
Page : 232 pages
File Size : 49,65 MB
Release : 2015-11-09
Category :
ISBN : 9783659787652
The global market for foreign exchange is larger in turnover than any other market, including global equities and typically extremely liquid has changed dramatically over the past several years. Although both fundamental and technical analysis have the same goal of predicting a price or movement in FOREX market, they differ greatly. While technical analyst studies the effect, the fundamentalist studies the cause of market movement. Many successful traders combine both approaches for superior results. Considering the above mentioned facts, the present study is undertaken, with the aim of enhancing the existing knowledge base in the field of FOREX market technical analysis. The present study is undertaken to empirically evaluate the efficiency of foreign exchange market in respect of nine currency pairs, viz., EURUSD, USDJPY, USDCHF, GBPUSD, USDCAD, EURGBP, EURJPY, AUDUSD and NZDUSD as well as the importance of currency pairs, time frames and technical indicators in making regular returns and also making return after adjusting for risk associated with trading. It is concluded that there is non-randomness in the daily exchange rate return series of all nine selected currency pairs.