The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets PDF full book. Access full book title The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets by R. Hodrick. Download full books in PDF and EPUB format.
Author: R. Hodrick
Publisher: Routledge
ISBN: 1136455213
Category : Business & Economics
Languages : en
Pages : 185
Get Book
Book Description
First Published in 2001. Routledge is an imprint of Taylor & Francis, an informa company.
Author: R. Hodrick
Publisher: Routledge
ISBN: 1136455213
Category : Business & Economics
Languages : en
Pages : 185
Get Book
Book Description
First Published in 2001. Routledge is an imprint of Taylor & Francis, an informa company.
Author: Robert J. Hodrick
Publisher: CRC Press
ISBN: 1000943380
Category : Mathematics
Languages : en
Pages : 190
Get Book
Book Description
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: Mr.Mark P. Taylor
Publisher: International Monetary Fund
ISBN: 1451964390
Category : Business & Economics
Languages : en
Pages : 61
Get Book
Book Description
We survey the literature on the two main views of exchange rate determination that have evolved since the early 1970s: the monetary approach to the exchange rate (in flex-price, sticky-price and real interest differential formulations) and the portfolio balance approach. We then go on to discuss the extant empirical evidence on these models and conclude by discussing how the future research strategy in the area of exchange rate determination is likely to develop. We also discuss the literature on foreign exchange market efficiency, on exchange rates and ‘news’ and on international parity conditions.
Author: Lucio Sarno
Publisher: Cambridge University Press
ISBN: 1139435043
Category : Business & Economics
Languages : en
Pages : 330
Get Book
Book Description
In the last few decades exchange rate economics has seen a number of developments, with substantial contributions to both the theory and empirics of exchange rate determination. Important developments in econometrics and the increasingly large availability of high-quality data have also been responsible for stimulating the large amount of empirical work on exchange rates in this period. Nonetheless, while our understanding of exchange rates has significantly improved, a number of challenges and open questions remain in the exchange rate debate, enhanced by events including the launch of the Euro and the large number of recent currency crises. This volume provides a selective coverage of the literature on exchange rates, focusing on developments from within the last fifteen years. Clear explanations of theories are offered, alongside an appraisal of the literature and suggestions for further research and analysis.
Author: Jerome L. Stein
Publisher:
ISBN:
Category : Efficient market theory
Languages : en
Pages : 62
Get Book
Book Description
Author: Richard T. Baillie
Publisher: Cambridge University Press
ISBN: 9780521396905
Category : Business & Economics
Languages : en
Pages : 280
Get Book
Book Description
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: Lucio Sarno
Publisher: Cambridge University Press
ISBN: 9780521485845
Category : Business & Economics
Languages : en
Pages : 334
Get Book
Book Description
In the last few decades exchange rate economics has seen a number of developments, with substantial contributions to both the theory and empirics of exchange rate determination. Important developments in econometrics and the increasingly large availability of high-quality data have also been responsible for stimulating the large amount of empirical work on exchange rates in this period. Nonetheless, while our understanding of exchange rates has significantly improved, a number of challenges and open questions remain in the exchange rate debate, enhanced by events including the launch of the Euro and the large number of recent currency crises. This volume provides a selective coverage of the literature on exchange rates, focusing on developments from within the last fifteen years. Clear explanations of theories are offered, alongside an appraisal of the literature and suggestions for further research and analysis.
Author: Deirdre N. McCloskey
Publisher:
ISBN:
Category :
Languages : en
Pages : 21
Get Book
Book Description
Author: Robert J. Hodrick
Publisher:
ISBN: 9781003420385
Category : MATHEMATICS
Languages : en
Pages : 0
Get Book
Book Description
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: Mario Chinas
Publisher: Library of Cyprus
ISBN: 9789925755608
Category :
Languages : en
Pages : 114
Get Book
Book Description
This is the Black & White version of the book, available at a discount, which does not include the research data and analysis tables. There is also a Full Colour version that includes all the research data and analysis tables. What is a Stock Market? How do stock markets operate? Who invests in a stock market and when is it an appropriate tool for investment? Why do we care if a stock market is efficient or not? Where can we find evidence of market efficiency? With what tools can we test market efficiency?These are some of the questions that this book approaches. The Efficient Market Hypothesis (EMH) is a theory in financial economics, developed by Eugene Fama, which states that asset prices fully reflect all available information. Thus, it is implied that stocks always trade at their fair value, making it impossible for investors to "beat the market" via technical or fundamental analysis, since market prices should only react to new information.There are three variants of the EMH: "weak," "semi-strong," and "strong" form. The weak form of the EMH claims that prices already reflect all past publicly available market information. The semi-strong form claims that prices reflect all publicly available information, thus price changes occur to reflect new publicly available information. The strong form adds to this that prices instantly reflect even hidden private "insider" information.Testing the EMH is no easy task: Quantifying the availability of information and its effect on prices and market efficiency is challenging, making research on the subject difficult, time consuming and open to criticism. However, anecdotal evidence suggests that markets at best reach semi-strong form efficiency, with weak form efficiency being the norm. However, even this is challenged by the critics of EMH, via concepts such as Behavioural Finance.This book aims to familiarise the reader with the concept of EMH, covering the fundamentals and relevant literature. We then discuss market efficiency tests for Weak Form Market Efficiency, examining in more detail the day-of-the-week effect and its significance on stock market efficiency. The day-of-the-week effect is defined as a pattern where a certain day of the week has abnormal returns continuously. It is an anomaly that violates the random walk hypothesis, and thus implies that a market is not Weak Form efficient.We put theory into practice through the Empirical Research section which is divided into two parts, looking at two different approaches to researching the day-of-the-week effect, via the examination of actual research examples on a small European stock exchange. Both of these Thesis tested the hypothesis of random walk to determine the authenticity of weak form market efficiency for a small emerging stock market within the EU (the Cyprus Stock Exchange).
