Testing the efficiency of high-frequency foreign exchange market
نویسندگان
چکیده
منابع مشابه
Testing Rational Expectations and Efficiency in the Foreign Exchange Market
Forward and spot exchange rates are modelled as an unrestricted bivariate autoregression from weekly data on the New York foreign exchange market for June, 1973 to April, 1980. The null hypothesis that the forward exchange rate is an unbiased estimate of the corresponding future spot exchange rate is tested by means of a nonlinear Wald test and is rejected for all six currencies considered. The...
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In searching a market-neutral arbitrage strategy in forex market, we took a portfolio of three major currency pairs, EUR-USD, USD-JPY, and EUR-JPY. There are eight approaches, different cases of short and long positions; for example buying 1st and selling two others, etc. Historical daily FX rates were gathered since January 1990 until February 2011. Monthly covariances between daily growth rat...
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This study investigates the effects of macroeconomic variables and their role in development of foreign exchange market. The foreign exchange market is the mechanism by which a person of firm transfers purchasing power form one country to another, obtains or provides credit for international trade transactions, and minimizes exposure to foreign exchange risk. The foreign exchange transaction i...
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This study investigates the effects of macroeconomic variables and their role in development of foreign exchange market. The foreign exchange market is the mechanism by which a person of firm transfers purchasing power form one country to another, obtains or provides credit for international trade transactions, and minimizes exposure to foreign exchange risk. The foreign exchange transaction i...
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This paper specifies two VAR models for testing efficiency and expectations in foreign exchange markets. The sufficient conditions for efficiency and rational expectations, by imposing restrictions on the VAR parameters, are derived. Based on these models, issues on testing efficiency and rationality are discussed with reference to previous empirical studies in the area. 2002 Elsevier Science...
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ژورنال
عنوان ژورنال: Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis
سال: 2015
ISSN: 1211-8516,1211-8516
DOI: 10.11118/actaun200452060277