Abstract This study examines the presence of herding behaviour in forex market Pakistan. By analysing daily returns top six traded currencies from January 2015 to December 2019, current research explores investors towards investment currencies. Data is analysed using model proposed by Chang et al. (2000). Results estimation techniques provide evidence herd among investors. Findings suggest that...

GROWING BODY OF theoretical literature, known as the study of securities market microstructure, deals with the behavior of participants in securities markets and with the effects of information and institutional rules on the economic performance of those markets. These institutional factors may arise from technology, tradition or regulation. Microstructure and its impact are important, because ...

The paper examines the economic role of modelling information on the decision problem of an exporting firm under exchange rate risk and hedging. Information is described in terms of market transparency, i.e., a publicly observable signal conveys more information about the random foreign exchange rate. We analyze the interaction between market transparency and the ex ante expected utility of the...

The adverse effect of currency volatility on international trade has prompted the inception of the European Monetary System (EMS) and other measures of international policy coordination aimed at reducing intracurrency variability. Until "Black Wednesday" in September 1992 the EMS had some sucess in this objective, but following pressure on the Italian Lira, other ERM currencies (viz. Sterling, ...

We construct multi-currency models with stochastic volatility and correlated stochastic interest rates with a full matrix of correlations. We first deal with a foreign exchange (FX) model of Heston-type, in which the domestic and foreign interest rates are generated by the short-rate process of Hull-White [HW96]. We then extend the framework by modeling the interest rate by a stochastic volatil...

Many systems studied in the biological, physical, and social sciences are composed of multiple interacting components. Often the number of components and interactions is so large that attaining an understanding of the system necessitates some form of simplification. A common representation that captures the key connection patterns is a network in which the nodes correspond to system components ...