منابع مشابه
Foreign Currency Futures
The 1heoretical na1ure of risk premiums in roreign currency futures markets is derived and s1udied empirically. Eslimation problems encountered in using futures da1a are discussed. Since forward rates and fu1ures prices have been found to be approximately equal, and because risk premiums in forward markets are highly variable, consistency of the data requires time variation in daily risk premiu...
متن کاملMultiFractality in Foreign Currency Markets
The standard hypothesis concerning the behavior of asset returns states that they follow a random walk in discrete time or a Brownian motion in continuous time. The Brownian motion process is characterized by a quantity, called the Hurst exponent, which is related to some fractal aspects of the process itself. For a standard Brownian motion (sBm) this exponent is equal to 0.5. Several empirical...
متن کاملPricing Foreign Currency and Cross-Currency Options Under GARCH
The main objective of this paper is to propose an alternative valuation framework for pricing foreign currency and cross-currency options, which is capable of accommodating existing empirical regularities. The paper generalizes the GARCH option pricing methodology of Duan (1995) to a two-country setting. Specifically, we assume a bivariate nonlinear GARCH system for the exchange rate and the fo...
متن کاملShould U.S. Investors Hold Foreign Stocks?
U.S. investors have traditionally been reluctant to acquire foreign securities—in part, perhaps, because they fear that restrictions on trading in foreign markets will sharply limit any gains they might realize from diversifying their portfolios. An analysis of the effects of one type of restriction, short-sale constraints, on stock returns between 1976 and 1999 suggests that investing in emerg...
متن کاملWhy Foreign Investors Trade More Frequently?
We examine the portfolio turnover of mutual funds from 29 countries across the world and for the period 1999 to 2004. Our results indicate that turnover in foreign securities is higher in the countries that are less developed, have less investor protection, have lower information disclosure standard, and are less familiar to the fund managers. The negative relationship between turnover in forei...
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ژورنال
عنوان ژورنال: The Economic Journal
سال: 2003
ISSN: 0013-0133,1468-0297
DOI: 10.1111/1468-0297.00120