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Dincer, Bayram. "Foreign Exchange Volatilities." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/04602538002/$FILE/04602538002.pdf.
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Muller, Aline. "Foreign exchange risk exposure." [Maastricht : Maastricht : Universiteit Maastricht] ; University Library, Maastricht University [Host], 2005. http://arno.unimaas.nl/show.cgi?fid=6455.
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Ivanova, Yuliya Rumenova. "Essays in foreign exchange." Diss., University of Iowa, 2015. https://ir.uiowa.edu/etd/1642.
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This thesis consists of three chapters and focuses on the relationship between foreign exchange rates and other areas of Finance. The first chapter is sole-authored and is titled `Foreign Exchange Rate Exposure and Corporate Policies.' The second chapter is coauthored work with Professor Emeritus Paul Weller, Assistant Vice President Chris Neely and Professor David Rapach and is titled `Can Risk Explain the Profitability of Technical Trading in Currency Markets.' The third chapter is titled `Foreign Exchange Movements and Cross-country Fund Allocation Decisions.'
In the first chapter, I examine the relationship between foreign exchange rate exposure and corporate policies. Despite the fact that empirical tests estimate foreign exchange rate exposure net of corporate hedging, there are still firms that exhibit significant residual exposures. It is believed that when faced with higher foreign exchange rate exposure, companies are more likely to run into an underinvestment problem. Therefore, in the current study I explore whether foreign exchange rate exposure is reflected in corporate policies beyond hedging. I establish that companies with higher foreign exchange rate exposure tend to hold more cash, have a higher likelihood of accessing capital markets and are less likely to issue dividends. Further, the relationship between foreign exchange rate exposure and these corporate policies is more pronounced for firms for which the underinvestment problem is likely to be more severe, namely firms with higher growth opportunities and firms operating in more competitive industries. Additionally, I find that half of the significant foreign exchange rate exposures in my sample come from firms with only domestic sales. Thus, I believe that foreign exchange rate exposure is relevant not only to the decisions of multinational corporations with international involvement and deserves additional investigation.
The second chapter examines the robust finding that technical trading rules applied to foreign exchange markets have earned substantial excess returns over long periods of time. However, the approach to risk adjustment has typically been rather cursory, and has tended to focus on the CAPM. We examine the returns to a set of dynamic trading rules and look at the explanatory power of a wide range of models: CAPM, quadratic CAPM, C-CAPM, Carhart's 4-factor model, an extended C-CAPM with durable consumption, Lustig-Verdelhan (LV) factors, volatility and skewness. Although skewness has some modest explanatory power for the observed excess returns, no model can plausibly account for the very strong evidence in favor of the profitability of technical analysis in the foreign exchange market. We conclude that these findings strengthen the case for considering models incorporating cognitive bias and the processes of learning and adaptation, as exemplified in the Adaptive Markets Hypothesis.
The third chapter is motivated by the fact that success of investment in international equity markets is a function of the stock picking ability of the manager within the particular foreign market as well as the (un)favorable foreign exchange rate movements against the domestic currency. Therefore, the objective of this paper is to study in more detail the relationship between currency returns and the cross country equity flows of U.S. international equity mutual funds. We are interested whether mutual funds are able to take advantage of beneficial currency movements and more importantly whether they destroy value through inappropriate currency positions. We establish that funds are better at managing contemporaneous changes in currency movements rather than at predicting future changes. We find that 80% of the funds increase their portfolio exposure to a particular currency (by increasing the relevant country allocation) when it has positive returns and decrease the exposure to that currency when it has negative returns. Further, the average fund does not create or destroy significant value through its country allocation decisions. Moreover, mutual fund managers do not have an advantage in predicting certain currencies over others. Most importantly however, it has to be noted that international mutual funds are not eroding value through their currency management even in the case of the most active funds.
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Gau, Yin-Feng. "Heteroskedastic volatility of foreign exchange rates /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 1997. http://wwwlib.umi.com/cr/ucsd/fullcit?p9804526.
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Bertolini, Lorenzo. "Trading foreign exchange carry portfolios." Thesis, City University London, 2011. http://openaccess.city.ac.uk/1090/.
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Foreign exchange carry trades involve buying high yielding currencies while selling low yielding currencies. Contrary to the implications of the uncovered interest parity condition, carry trades have generated consistent profits in the past decades. As foreign exchange has gained increased relevance as an asset class in its own, the carry trade emerged as a major driver of foreign exchange market turnover. Given the widespread use and ease of implementation of carry strategies, active currency managers should be evaluated relative to a benchmark which incorporates a proxy for carry trade returns. Within this thesis we study the profitability of various carry portfolio strategies on a very recent data set ranging from the 1st of January 1999 to the 5th of March 2010. Within three distinct empirical chapters we analyse whether different asset allocation, market-timing and money management methodologies have the potential to improve the performance of a simple carry portfolio, such as the one implemented by the Currency Harvest exchange traded fund by Deutsche Bank. Three main findings emerge from our investigation on carry trade portfolios. First, we find that a simple carry trade proxy is difficult to outperform with asset allocation and market-timing techniques. Nevertheless, we would not conclude that professional currency managers should cease to implement carry strategies, since they can add value to the investment process by successfully addressing the issue of optimal leveraging for carry trades. Second, we find that the portfolio flows of carry traders do uncover pockets of predictability in the FX market. Strategies which aim at front-running the trades of carry strategies, do generate positive returns with low correlations to traditional carry trade strategies and therefore offer good diversification vehicles for carry portfolios. Lastly, we find that while profitable market-timing seems feasible on historical backtests, the results are strongly dependent on the correctly timing the credit crisis. Thus, we note that our results are affected by a lookback bias. We posit that before the credit crisis, portfolio managers would not have had the foresight to select the correct market-timing indicators. We thus advocate a broad diversification of risk indicators for carry trade timing.
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Li, He. "Foreign exchange intervention in China." Thesis, Durham University, 2017. http://etheses.dur.ac.uk/11995/.
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This thesis investigates the behaviour of foreign exchange intervention in China and its effects on the RMB’s exchange rate levels and volatility. The research first examines what drives Chinese central bank’s intervention through buying and selling foreign exchange (the CB intervention) in a bivariate probit model and shows that intervention is driven by an array of factors including exchange rate deviations, conditional volatility, national economic conditions, interest rate differentials. The PBOC conducts intervention in a leaning-against-the-wind fashion in the medium term, while leaning-with-the-wind intervention is used in the short term. The thesis next focuses on the intervention in the central parity rate (the CPR intervention). Evidence from a Bayes Tobit model shows that the CPR intervention is determined by the market price (proxied by the proposed price by designated market makers), broad currency index and the yield curve spread. The PBOC adopts a leaning-against-the-wind strategy for the intervention in that when the market price appreciates (depreciates), the PBOC sets a higher (lower) central parity rate to dampen or even reverse the appreciation (depreciation). To what extent the CB and CPR interventions are effective is then estimated in threshold GARCH models. Results show that while CPR intervention focuses on combating appreciation, intervention by the central bank’s purchase or sale operations (CB intervention) impacts on exchange rate levels when the RMB depreciates. While interventions would move exchange rate levels to the direction desired by the authorities, they tend to increase exchange rate volatility. Finally, event study methodology is deployed to explore the properties and impacts of China’s oral intervention. The estimation adopts four criteria (event, direction, reversal and smoothing) to test to what extent oral intervention is effective. Evidence indicates oral intervention through exchange rate communications can influence exchange rate levels and the RMB exchange rate is responsive to international pressure. Furthermore, sequential oral interventions can reduce exchange rate volatility.
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Mukherjee, Satrajit. "Essays on foreign exchange markets." Thesis, Queen's University Belfast, 2015. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.695863.
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Market microstructure and imperfect information in macroeconomics both highlight the importance of private information in a rational expectations framework. This thesis draws on both sources to understand exchange rate forecasting errors. A theoretical model is developed showing that exchange rate forecasting errors depend on both forecast revisions as in the Woodford imperfect information model and order flow as in the Evans-Lyons simultaneous trade model. Empirically, the results were encouraging and the analysis concluded that apparently irrational forecast errors in the foreign exchange markets can be rationally explained by forecast revisions and order flow.
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Liu, Kit-ying Ida. "Empirical exchange rate models : out-of-sample forecasts for the HK$/Yen exchange rate /." Hong Kong : University of Hong Kong, 1997. http://sunzi.lib.hku.hk/hkuto/record.jsp?B20666895.
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Lui, Man Chee Ian. "The myths and beliefs of foreign investors in Asian emerging stock markets : the case of Malaysia /." View thesis View thesis, 2001. http://library.uws.edu.au/adt-NUWS/public/adt-NUWS20030506.132049/index.html.
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Thesis (D.B.A.) -- University of Western Sydney, Nepean, 2001.Thesis submitted for the degree of Doctor of Business Administration, University of Western Sydney, Nepean, 2001. Includes bibliographical references.
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Kim, Chung-Han. "Empirical studies of real exchange rates : heteroskedasticity, cross exchange rate correlation, forecasting /." Thesis, Connect to this title online; UW restricted, 1998. http://hdl.handle.net/1773/7396.
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Chan, Kin-pun. "Market revolution : the path to more efficient foreign exchange market /." [Hong Kong : University of Hong Kong], 1994. http://sunzi.lib.hku.hk/hkuto/record.jsp?B13787895.
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Chen, Ruo. "Essays on exchange rates." Diss., Restricted to subscribing institutions, 2007. http://proquest.umi.com/pqdweb?did=1481668671&sid=1&Fmt=2&clientId=1564&RQT=309&VName=PQD.
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Wan, Chung-kum. "Cross hedging of foreign exchange risk." Click to view the E-thesis via HKUTO, 2000. http://sunzi.lib.hku.hk/hkuto/record/B31954741.
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Yusuf, Mazila M. D. "Foreign exchange risk : the Malaysian experience." Thesis, University of Strathclyde, 2006. http://oleg.lib.strath.ac.uk:80/R/?func=dbin-jump-full&object_id=21666.
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Foreign exchange rate risk has certain implications on the economic growth of a country. Such risk, measured by the volatility of exchange rates, is said to deter companies from engaging in international trade, reduce the profitability of firms (directly or indirectly) and discourage foreign direct investment inflows. The overall aim of this research is to analyse the impact of exchange rate risk or volatility on the Malaysian economy. The implications of exchange risk are substantiated by empirical studies on the impact of exchange rate volatility on Malaysia's trade balance and main categories of exports (primary trading partners only), on its market shares and on inward foreign direct investment from its main suppliers. Different forms of estimations have been conducted to establish these relationships including cointegration, Granger causality effects, impulse response, variance decomposition, vector error correction models and panel fixed effects. Two measures of exchange rate volatility have been used: the moving average standard deviations and the GARCH model. The overall results reveal that exchange rate volatility has inconsistent impacts on Malaysian economic factors. Exchange rate volatility is found to have a significant impact only on Malaysia's trade balance with the United States and Singapore. The major export categories are found to have a positive significant relationship with exchange rate volatility during the floating exchange rate period and a negative significant relationship during the fixed exchange rate period. The empirical results conclude that Malaysian stock prices lead exchange rate volatility. Aggregate inward foreign direct investment into Malaysia has a positive significant relationship, while disaggregate inward foreign direct investment has an insignificant positive relationship with exchange rate volatility.
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Allen, Helen Louise. "Chartism in the foreign exchange market." Thesis, City University London, 1990. http://openaccess.city.ac.uk/7532/.
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This thesis examines the use and nature of chartism in the foreign exchange market, bringing together an analysis of chartist methods and the views/empirical work of economics. A survey of general chartist methods demonstrates the origins of the modern techniques, the construction of the various indicators, the use of pattern recognition and the variety of calculated indices. Despite these methods being widely used in the market, there seems to be very little bridging between practical chartism and the many fundamental-based academic studies of exchange rate determination/forecasting. Key points of the academic literature which have features pertinent to non-fundamental chart analysis are therefore discussed, and what little explicit analysis of chartism has been done is highlighted. It is clear that analysis of the subject is a growing area of the literature. It transpires, however, that there is minimal actual evidence available about the use of chartism in practice. To provide information on this, a questionnaire survey was conducted to examine the extent to, and manner by which, chartism is used in the (London) foreign exchange market and how it is perceived by the market participants themselves. This gives clear information on the extent of chartist advice in the market and the wide variety of techniques used, along with insights into the differing views held by market participants on the subject. While something of a broad consensus emerges regarding the possible methods and the weights given to charts at differing time horizons, there is sufficient heterogeneity in general to suggest that differences of views will be transmitted in actual chartists advice. To test this directly, a database of chartists' forecasts was constructed by a telephone survey of a panel of chartists, to compile their one and four week ahead predictions for the three major bilateral rates. This gives a unique data set, from which it is possible to analyse the forecasts of individuals as well as the median forecast. The data is subjected to a battery of tests and comparisons, a recurring result of which is indeed the apparent difference in accuracy between individual chartists. For example comparisons with a range of other forecasting techniques (economic and statistical), show some chartists under-perform these consistently while the best are even able to outperform a random walk. Tests of the implied expectations mechanism reveal that the hypothesis of rationality of chartism cannot be entirely rejected over the short horizon, but that there is stronger evidence of irrationality over the four week period, a result which becomes more pronounced as the information set is expanded, which provides evidence against the chartist tenet that 'the price discounts everything'. Testing for different methods of expectation formation reveals that in general the hypothesis of static expectations cannot be rejected against the variety of afternatives considered. Overall, the crucial result in this area was that of an inelasticity of expectations: chartists' advice does not appear to exert a destabilising on the foreign exchange market by overreacting systematically to changes in the current rate. In sum, this thesis forms a bridge between chartism and economics, by examining the methods and results of the former and analysing them with the tools of the latter.
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Kyriacou, Myria. "Foreign exchange market microstructure and forecasting." Thesis, City University London, 2009. http://openaccess.city.ac.uk/8717/.
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Using two unique datasets, one at a daily frequency including six currency pairs, and another tick-by-tick dataset in €/US$, we investigate some of the unanswered questions in the field of foreign exchange market microstructure. We confirm the contemporaneous relationship between flows and exchange rates found in the literature in the daily data, but in the forecasting experiments we find no forecasting power, regardless of model, history used forecast horizon or currency pair. The forecasting performance is not improved by considering a system of exchange rates, or by evaluating based on directional ability instead of the more usual RMSE ratio. Subsequently we estimate two standard market microstructure models - Madhavan-Smidt and Huang-Stoll - using the high-frequency dataset in order to gain an insight into the information content of customer order flow. While we are unable to find any evidence of information content from financial customer trades, we find strong evidence that large corporate customer trades are perceived to have statistically and economically significant information content. Lastly we turn our attention to the issue of causality. Using a distributed lag model to investigate the impact of flows on exchange rates and vice versa, corporate orders are found to have a small long-term impact, but more significantly we find evidence of positive feedback trading in both corporate and financial customers. We explore the long-run dynamics of the system using a VECM, and find that all counterparty types have a positive equilibrium relationship with the exchange rate. Crucially, the adjustment dynamics show that all of the weight of adjustment to restore equilibrium after a shock falls to flows. Lastly, we conduct a high frequency forecasting experiment, but again find no evidence of forecasting power. Two important themes emerge from the high-frequency investigation. The first is the apparent importance of corporate customers, and the second is that the direction of causality runs not from flows to exchange rates, but from exchange rates to flows. We conclude that the weight of the evidence suggests that feedback rather than information content is what drives the strong contemporaneous relationship between exchange rates and flows.
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Wan, Chung-kum, and 尹頌琴. "Cross hedging of foreign exchange risk." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2000. http://hub.hku.hk/bib/B31954741.
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Demacopoulos, Alexander Christos. "Foreign exchange exposure in international construction." Thesis, Massachusetts Institute of Technology, 1989. http://hdl.handle.net/1721.1/14325.
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Horbachova, Oksana Mykolayivna, and Yuliia Anatoliyivna Zaiats. "Features of Ukraine foreign exchange market." Thesis, National Aviation University, 2021. https://er.nau.edu.ua/handle/NAU/53767.
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1. Bereslavska, O. (2017), "Imbalance currency market of Ukraine", Visnyk Natsionalnoho banku Ukrainy, vol. 3, pp. 3—9.
2. Bereslavska, O. (2018), "The stability of the hryvnia, the objective reality of forced or necessity?", Visnyk Natsionalnoho banku Ukrainy, vol. 3, pp .6—11.
3. National Bank of Ukraine. URL: https://bank.gov.ua/ (дата звернення 05.10.2021).Currency market plays an important role for Ukraine financial market because it connects the national and world financial systems. International payments, insurance currency risks, foreign-exchange interventions, making a profit, economic growth, inflation rate, and national competitiveness depend on efficiency of currency market. Besides, the currency market and the mechanism of its regulation influence the state of individual sectors of economy, enterprises, and a place of state in the world market. So, today the problem of foreign-exchange market, its issues of development and finding the solutions is actual enough, and it needs special attention.
Валютний ринок відіграє важливу роль у становленні фінансового ринку України, адже він поєднує національну та світову фінансові системи. У тезах було розглянуто сучасний стан валютного ринку в Україні та наявні проблеми. Крім того, було запропоновано кілька шляхів, які можуть покращити стан валютного ринку.
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Shehadeh, Ali Abdelhadi Ali. "Essays on the foreign exchange market." Thesis, Queen's University Belfast, 2016. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.709816.
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This thesis is presented as a collection of papers. It contributes to three strands of literature concerning the foreign exchange (FX) market economics. Firstly, the literature on the exchange rate determination puzzle; secondly, the literature on the forward premium bias (FPB) puzzle and currency carry trade return; thirdly, the literature on currency trading strategies. In light of the scapegoat theory to exchange rates, we show that macro fundamentals have important role in the determination of exchange rates, contrary to the fundamentals-exchange rates disconnect literature, and we also show how macro implications are transmitted into exchange rates via the channel of order flow. Next, we show the importance of volatility and liquidity risk factors for understanding and explaining the performance of the currency carry trade return, implying that these risk factors are relevant in driving FX risk premium and in determining exchange rates. Then, by analysing actual US dollar (USD) forward positions against a number of emerging and advanced currencies, we provide direct evidence on the FX traders' behaviour with respect to the USD carry trading over the recent period of near-zero US interest rates. We find a pattern of USD carry trading against the emerging currencies, but a pattern completely opposite to carry trading -i.e. "fundamental-based" trading- against the advanced currencies.
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Klongkratoke, Pittaya. "Econometric models in foreign exchange market." Thesis, University of Glasgow, 2016. http://theses.gla.ac.uk/7333/.
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According to the significance of the econometric models in foreign exchange market, the purpose of this research is to give a closer examination on some important issues in this area. The research covers exchange rate pass-through into import prices, liquidity risk and expected returns in the currency market, and the common risk factors in currency markets. Firstly, with the significant of the exchange rate pass-through in financial economics, the first empirical chapter studies on the degree of exchange rate pass-through into import in emerging economies and developed countries in panel evidences for comparison covering the time period of 1970-2009. The pooled mean group estimation (PMGE) is used for the estimation to investigate the short run coefficients and error variance. In general, the results present that the import prices are affected positively, though incompletely, by the exchange rate. Secondly, the following study addresses the question whether there is a relationship between cross-sectional differences in foreign exchange returns and the sensitivities of the returns to fluctuations in liquidity, known as liquidity beta, by using a unique dataset of weekly order flow. Finally, the last study is in keeping with the study of Lustig, Roussanov and Verdelhan (2011), which shows that the large co-movement among exchange rates of different currencies can explain a risk-based view of exchange rate determination. The exploration on identifying a slope factor in exchange rate changes is brought up. The study initially constructs monthly portfolios of currencies, which are sorted on the basis of their forward discounts. The lowest interest rate currencies are contained in the first portfolio and the highest interest rate currencies are in the last. The results performs that portfolios with higher forward discounts incline to contain higher real interest rates in overall by considering the first portfolio and the last portfolio though the fluctuation occurs.
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Mihailovs, Timurs. "Automated high-frequency foreign exchange trading." Thesis, Imperial College London, 2008. http://hdl.handle.net/10044/1/11488.
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Yan, Bingcheng. "Cross-market interactions, price discovery dynamics, and market quality measurement /." Thesis, Connect to this title online; UW restricted, 2005. http://hdl.handle.net/1773/7375.
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Melick, William R. "Collapsing exchange rate regimes under governmental optimization /." Connect to resource, 1987. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1262710081.
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Ren, Peter. "An Analysis of Market Efficiency for Exchange-traded Foreign Exchange Options on an Intraday Basis." Thesis, University of North Texas, 2015. https://digital.library.unt.edu/ark:/67531/metadc801929/.
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This study examines the comparative magnitude of disturbances in intraday data for exchange traded foreign exchange (FX) options. An in-depth time series analysis on the frequency and extent of discrepancies in the disturbances is conducted. The purpose of this study is twofold. First, using intraday data and trading volume, this study attempts to determine whether both put-call parity and lower boundary conditions consistently hold for exchange traded options written on U.S. dollar denominated options on the Euro trading on the Philadelphia Stock Exchange (PHLX). Second, this study attempts to investigate the magnitude of any discrepancies that may exist due to a temporary cessation of either put-call parity or lower boundary conditions. Intraday (tick-by-tick) bid prices, ask prices, and trading volume on U.S. dollar denominated European style call options and put options on the Euro are obtained. Option data is collected through a Structured Query Language (SQL) request from the Bloomberg database. Corresponding tick-by-tick spot rates for the underlying exchange rate are obtained for the same time period. Tick-by-tick 3-month Treasury bill rates are obtained to for use as the relevant risk-free interest rate. The primary data set spans an approximate one month period from 11/1/2011 to 12/6/2011. Call and option pricing data for near-the-money exercise prices are obtained for options expiring in December 2011, January 2012, February 2012, March 2012, June 2012, and September 2012. A total of 7,212 ticks (minutes) are analyzed for the conversion strategy and 7,209 ticks are analyzed for the reversal strategy. The data is structured into an unbalanced panel data set (cross-sectional time series data) using put-call pairs as the cross sectional units and ticks as the time-series unit. To test the efficiency of the foreign exchange options market, lower boundary and put-call parity conditions were tested on tick-by-tick currency option data. Analysis shows that lower boundary conditions hold for the overwhelming majority of options, with less than 0.0001% of violations for the observed options. A more detailed econometric analysis was prepared to test the put-call parity condition for currency options. A fixed effects model specification is used to describe the put-call parity relationship. Based on the analysis, it is possible to obtain arbitrage profits in the short run through the use of either a conversion or reversal strategy even after accounting for transaction costs. Taking the first differences of the variables resulted in a model with stationary variables and statistically significant estimators. The inclusion of dummy variables for moneyness did not add significant explanatory power to the deterministic put-call parity relationship. For both first differences of conversion and reversal strategies, the large t-statistics for the slope coefficients and intercept terms indicate a rejection of the null hypothesis, H0: λ0 = 0 and λ1 = 1 after adjusting for standard error. This implies that once transaction costs are adjusted for, put-call parity does not hold. However, the intercept term is only very slightly negative, and the intercept term is only slightly less than one in both cases. This implies that when put-call parity is violated, arbitrage profit should be relatively small.
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Ozgen, Tolga. "Market efficiency and hedging foreign exchange risk : evidence from Turkey." Thesis, University of Aberdeen, 2014. http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=210802.
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Chan, Man Ching Stella. "Essays on real exchange rate adjustments in a fixed exchange rate system." Diss., Restricted to subscribing institutions, 2008. http://proquest.umi.com/pqdweb?did=1666128101&sid=5&Fmt=2&clientId=1564&RQT=309&VName=PQD.
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Stoyanov, Zahari, and Saleem Ahmad. "Foreign Exchange-Rate Exposure of Swedish Firms." Thesis, Jönköping University, JIBS, Economics, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-740.
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The main focus of the paper is the problem of exchange-rate exposure of Swedish firms between Jan, 1st 2002 and Sep, 27th 2006. Defined as “a measure of the potential for a firm’s profitability, net cash flow, market value to change because of a change in exchange rates”, the problem of exchange rate exposure is investigated, making use of the “Market Value Approach” (also known as “Stock Market Ap-proach”), with certain additional extensions. With Sweden being a very open economy with strong export orientation, we expected to find a greater number of firms showing significant ex-change rate exposure to one or more of the chosen 6 bilateral exchange rates (SEK/EUR, SEK/USD, SEK/DKK, SEK/NOK, SEK/GBP and SEK/JPY). Also, companies are divided into categories with respect to their main operating activity. The empirical study finds 78% of all companies in the sample with significant exposure, with dominance of lagged effect over con-temporaneous. This percentage is higher than found in previous empirical studies, being in sup-port of the suggestion that relation exists between economy openness and exchange rate expo-sure of firms. However, the significant cross-section differences across categories and the high level of heterogeneity within categories deter us from determining the sign, direction and magni-tude of the exchange rate exposure. Suggestions are made for further studies and possible exten-sions of the topic of the present paper.
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Guan, Zhao. "The interrelationship between New Zealand stock market and exchange rates a dissertation submit [sic] to Auckland University of Technology in fulfilment of the requirements for the degree of Master of Business (MBus), 2008 /." Click here to access this resource online, 2008. http://hdl.handle.net/10292/481.
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Liu, Kit-ying Ida, and 廖潔瑩. "Empirical exchange rate models: out-of-sampleforecasts for the HK$/Yen exchange rate." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1997. http://hub.hku.hk/bib/B3195456X.
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Schmidt, Robert. "The behavioral economics of foreign exchange markets : a psychological view on human expectation formation in foreign exchange markets /." Frankfurt am Main [u.a.] : Lang, 2006. http://www.gbv.de/dms/zbw/509769799.pdf.
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Tsorakidis, Nikolaos. "The microstructure of the foreign exchange market : the determinants of bid-ask spreads in the foreign exchange market." Thesis, Aston University, 2010. http://publications.aston.ac.uk/16427/.
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The purpose of this thesis is to shed more light in the FX market microstructure by examining the determinants of bid-ask spread for three currencies pairs, the US dollar/Japanese yen, the British pound/US dollar and the Euro/US dollar in different time zones. I examine the commonality in liquidity with the elaboration of FX market microstructure variables in financial centres across the world (New York, London, Tokyo) based on the quotes of three exchange rate currency pairs over a ten-year period. I use GARCH (1,1) specifications, ICSS algorithm, and vector autoregression analysis to examine the effect of trading activity, exchange rate volatility and inventory holding costs on both quoted and relative spreads. ICSS algorithm results show that intraday spread series are much less volatile compared to the intraday exchange rate series as the number of change points obtained from ICSS algorithm is considerably lower. GARCH (1,1) estimation results of daily and intraday bid-ask spreads, show that the explanatory variables work better when I use higher frequency data (intraday results) however, their explanatory power is significantly lower compared to the results based on the daily sample. This suggests that although daily spreads and intraday spreads have some common determinants there are other factors that determine the behaviour of spreads at high frequencies. VAR results show that there are some differences in the behaviour of the variables at high frequencies compared to the results from the daily sample. A shock in the number of quote revisions has more effect on the spread when short term trading intervals are considered (intra-day) compared to its own shocks. When longer trading intervals are considered (daily) then the shocks in the spread have more effect on the future spread. In other words, trading activity is more informative about the future spread when intra-day trading is considered while past spread is more informative about the future spread when daily trading is considered.
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周文堅 and Man-kin Chow. "Technical analysis of the foreign exchange market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1992. http://hub.hku.hk/bib/B31265273.
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Chow, Man-kin. "Technical analysis of the foreign exchange market /." [Hong Kong : University of Hong Kong], 1992. http://sunzi.lib.hku.hk/hkuto/record.jsp?B13302607.
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Vogel, Michael. "Trading Strategies in the Foreign Exchange Market." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/02603660002/$FILE/02603660002.pdf.
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Reiswich, Dimitri [Verfasser]. "The Foreign Exchange Volatility Surface / Dimitri Reiswich." Frankfurt am Main : Frankfurt School of Finance & Management gGmbH, 2010. http://d-nb.info/1011759845/34.
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D'Souza, Chris. "Information and learning in foreign exchange markets." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape7/PQDD_0007/NQ42940.pdf.
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Ng, Edward Hon Khay. "Public information and foreign exchange rate volatility." Connect to resource, 1990. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1261503175.
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Mende, Alexander. "Order flow analyses and foreign exchange dealing /." Frankfurt am Main [u.a.] : Lang, 2005. http://www.gbv.de/dms/zbw/477070094.pdf.
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Fritz, Markus Per. "Stochastic correlation models in foreign exchange markets." Thesis, Imperial College London, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.434776.
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Chalamandaris, George. "Liquidity risk in spot foreign exchange markets." Thesis, Imperial College London, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.325567.
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Kaleem, Muhammad. "Asset pricing in the foreign exchange market." Thesis, University of Glasgow, 2013. http://theses.gla.ac.uk/4762/.
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The exchange rate is one of the most vital components in any economic and investment decision. With the increase in globalisation, there is a concomitant increase in the exchange rate risk in any global investment decision. This Ph.D. thesis examines asset pricing in the foreign exchange market in various dimensions, introduces new techniques for performance measurement and information flow, and attempts to explain the carry trade in the foreign exchange market. The economic significance of empirical exchange rates models in a portfolio-based framework was examined, using a thirty-year time series of five exchange rates. The forecast performances were evaluated in mean-variance and performance index (indices of acceptability) to compare the fundamental exchange rate models with a benchmark random walk model. The parameters were computed using advanced computational finance and econometric techniques. The performance measurements obtained from mean-variance by various models were compared using the Sharpe ratio. It was concluded that the structural model, although unable to beat the random walk model, did not perform worse than the forecasts obtained from the benchmark model. The results from the indices of acceptability evaluation indicate that one-month ahead forecasts obtained from the monetary model of the exchange rate performed better than the benchmark model. Furthermore, the information flow in the foreign exchange market was examined by evaluating the relationship between volatility and the customers' trading activity. An attempt was made to explain the relationship between volatility and customer order flows in a portfolio-based framework with unique aggregate and disaggregate customer order-flow data from the Union Bank of Switzerland (UBS). This was the largest private dataset used to-date in a study of the foreign exchange market. The relationship was found to be robust; that is, the order flow is one of the main sources for transmitting private information to the foreign exchange market. This relationship holds across all the currencies and in various volatility estimates. This study is the first in the foreign exchange market in the aforementioned setup, and robustly elucidates the cited relationship in the foreign exchange market. The results give significant support to information being asymmetric across classes of customers and that private information is transmitted to the foreign exchange market by the trading behaviour of informed customers. Moreover, the volatility patterns in the foreign exchange market are significantly and substantially affected by the customer order flows. The size of the trade impact on volatility in a portfolio-based approach was also examined and it was found that the large sales are more influential trades on volatility in the foreign exchange market. In addition, to study the subsequent volatility, there was an examination of two existing hypotheses; i.e., the liquidity-driven-trade-hypothesis (positive subsequent relationship), and the information-driven-trade-hypothesis (negative subsequent relationship.) Both phenomena were found to exist, depending on the economic condition of the market. Finally, an explanation was given for the existence and identification of the carry trade in the foreign exchange market. When an investor borrows from a low interest-rate currency and invests in a higher interest-rate currency, zero-investment portfolio, this trading strategy is called carry trade strategy. Again, a novel data set provided by the UBS was examined to establish a relationship between the ordering patterns of informed customers and the carry trade. The forward discount bias and the carry trade were studied using theories of microstructure finance and the consumption-based asset-pricing model in a portfolio-based framework. The microstructure approach is the standard model of Evans and Lyons (2002). It was found that the order flow significantly explained the excess return in the carry trade, implying that informed customers knew about the carry trade opportunities in the market and reorganised their portfolios in order to realise these gains. Volatility and customer order flows were also examined, using a GMM approach, as a global innovation factor, and it was found that both variables significantly explained the cross-section of carry returns in the foreign exchange market.
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Fenn, Daniel. "Network communities and the foreign exchange market." Thesis, University of Oxford, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.533893.
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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 simplication. A common representation that captures the key connection patterns is a network in which the nodes correspond to system components and the edges represent interactions. In this thesis we use network techniques and more traditional clustering methods to coarse-grain systems composed of many interacting components and to identify the most important interactions. This thesis focuses on two main themes: the analysis of financial systems and the study of network communities, an important mesoscopic feature of many networks. In the first part of the thesis, we discuss some of the issues associated with the analysis of financial data and investigate the potential for risk-free profit in the foreign exchange market. We then use principal component analysis (PCA) to identify common features in the correlation structure of different financial markets. In the second part of the thesis, we focus on network communities. We investigate the evolving structure of foreign exchange (FX) market correlations by representing the correlations as time-dependent networks and investigating the evolution of network communities. We employ a node-centric approach that allows us to track the effects of the community evolution on the functional roles of individual nodes and uncovers major trading changes that occurred in the market. Finally, we consider the community structure of networks from a wide variety of different disciplines. We introduce a framework for comparing network communities and use this technique to identify networks with similar mesoscopic structures. Based on this similarity, we create taxonomies of a large set of networks from different fields and individual families of networks from the same field.
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Chen, Long. "Price discovery in the foreign exchange market." Thesis, City University London, 2007. http://openaccess.city.ac.uk/8553/.
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This thesis investigates the price discovery in the foreign exchange market using high frequency data. Traditional exchange rate models assume market homogeneity and the sole existence of public information. However. recent studies suggest such assumptions are not well founded and have generated the 'disconnection' puzzle of exchange rates deviating from their fundamentals in the short and medium term. Using EFX tick-by-tick data, we find that information is not always available to all and the actual price discovery process is dynamic and asymmetric. It suggests that some market participants, trading systems or even exchange rates may possess private information. which helps them to lead others in finding the equilibrium prices. It further reveals the importance of studying the microstructure of the foreign exchange market, which may in the future solve the 'disconnection' puzzle that has baffled the exchange rate theory for the past decades.
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Javaheri, Alireza. "Pricing of call options on foreign exchange." Thesis, Massachusetts Institute of Technology, 1994. http://hdl.handle.net/1721.1/35975.
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Thesis (M.S.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 1994.Includes bibliographical references (leaves [1]-2).
by Alireza Javaheri.
M.S.
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Chien, Yi-ho, and 錢怡合. "Foreign Institutional Investors and Foreign Exchange Market: Evidence from Taipei Foreign Exchange Market." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/99478849568117422591.
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碩士國立中央大學
財務金融研究所
98
This thesis investigates the relation across NTD/USD exchange rate, trading volume in the Taipei foreign exchange market, and buy-sell imbalance of foreign institutional investors, by using a trivariate vector autoregressive (VAR) model. Moreover, I also study the role of central bank’s intervention in the foreign exchange market, when the government facing the foreign institutional investors’ investment flows. The data cover the period from July 4, 1996 to December 31, 2009. I find a negative relationship between foreign net equity inflow and exchange rate returns. The results also show the central bank intervention only significantly affects the trading volume in the NTD/USD foreign exchange market. Alternatively, I extend our model to analyze whether the central bank intervention is effective in reducing the volatility. The results suggest that the central bank intervention only significantly affects the trading volume of the foreign exchange market, but does not affect the NTD/USD volatility. I also study the concentration of central bank intervention operations, and the results show that the frequency of intervention occurrence across Mondays, Tuesdays, Wednesdays, Thursdays, Fridays, and Saturdays does not differ much. However, I find most of central bank interventions happened on Thursdays in the NTD/USD foreign exchange market.
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Chang, Chuan-Yi, and 張全毅. "Determinants of foreign exchange exposure and Asymmetric foreign exchange exposure." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/17904627954932401198.
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碩士國立成功大學
國際企業研究所碩博士班
94
Abstract The effect of exchange rate movements on the value of a firm has become an important field in both academic research and practical investment analysis. In this paper, we try to answer two questions in this field: (1) what are important factors in determining of foreign exchange exposure? (2) Is the firm value influenced by foreign exchange rate asymmetrically? Previous empirical results focus on firm’s level of foreign involvement, namely export ratio or foreign sales, and using currency derivatives. However, they ignored that firms’ different foreign entry mode might be an important in determining of foreign exchange exposure, too. Thus, we focus on this part to shed more light on the determinants of foreign exposure. Based on firms’ specific behaviors, namely asymmetric pricing-to-market behavior, hysteretic behavior and hedging behavior, we could find some evidences of asymmetric foreign exchange exposure. This result might explain why we cannot detect the significant linear foreign exposure. Our empirical results show that firms’ foreign entry mode indeed an important factor in determining of exposures. Firms adopt joint venture mode as foreign entry strategy could significantly reduce the foreign exchange exposure. It is evidence that firms yield asymmetric foreign exchange exposure in Taiwan market, especially in year 1999 and 2001. We also find that firms with higher export ratio and more foreign countries where invested in have a higher possibility to yield asymmetric exposures.
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CHU-CHUN, LEE, and 李菊君. "FOREIGN EXCHANGE MARKET MICROSTRUCTURE: THE CASE OF TAIWAN FOREIGN EXCHANGE MARKET." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/42760254561305423749.
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碩士國立臺北大學
國際財務金融碩士在職專班
95
Since the Bretton Woods system collapsed in the early 1970’s, the international monetary system had entered an era of the floating rate system. The over-fluctuation of foreign exchange will reduce the investment efficiency for enterprises who suffered from such volatility of currency. Nowadays, the consecutive volatility of foreign exchange can hardly be explained by traditional macro exchange rate model . Instead, the faculty of finance is looking for the new answers from the analysis of market microstructure.The functions of macroeconomical variances to the foreign exchange will significantly influence the long-term trend of foreign exchange rate. But for the short-term volatility of foreign exchange, the microstructure theory will give better explanations. Therefore, the traditional macro exchange rate analysis explains the long term trend of foreign exchange rate, and on the contrary, the microstructure analysis emphasizes on explaining how short term foreign exchange fluctuates. All macroeconomical factors will influence the foreign exchange market and foreign exchange rate only through market microstructure approach. This paper uses Reuters TAIFX1 electronical screen page of domestic usd/twd foreign exchange historial trading data as samples of this study. Through the empirical analysis, we may conclude from the research and analysis of market microstructure sector as listed bellows: First, the volume of domestic usd/twd foreign exchange market will increase during the time of beginning the market in the morning, opening of market in the afternoon after intermission, and closing. This phenomenum conforms to the inventory model that dealers control the overnight position before the end of trading day, and not to hold the overnight position as possible. No dealer want to carriy an inventory longer than one day. Second, at the time closing to lunch break intermission（i.e. 11:00AM） and the time near to the closing of the day in each trasaction day. The volatility of fx market will increase, which reflects the existence of private information according to the fx information. The lunch break intermission trading customs in domestic fx market makes the volatility of price and volume the feature similar to double U-shaped curve. Third, the last deal in the 11:00AM will become the fixing rate for usd/twd financial derivatives in the domestic market, and the largest trading volume is also happening near to the time of 11:00 AM, somewhat like the microstructure approach “hot potato” trading model. The model produces hot-potato trading-a term that refers to the repeated passing of inventory imbalances between dealers. The relative derivative position dues for settlement will accelerate the speed of conveyance in the local inter-bank market like “hot potato”.
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Tsai, Yi-Nue, and 蔡益女. "Dynamic Volume-Return Relation on Taipei Foreign Exchange Market and Cosmos Foreign Exchange Market." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/01596169296666599084.
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碩士國立高雄第一科技大學
金融研究所
102
Using the data of the daily closing price and trading volume of U.S. dollar/New Taiwan dollar exchange rate for the period of May, 1998 through June, 2013, we examine the dynamic volume-return relation on the Taipei foreign exchange market and the Cosmos foreign exchange market. The result shows that speculative trades tend to occur on the period of small change of foreign exchange rate for the two markets. In addition, there are more speculative trades on the Cosmos foreign exchange market than the Taipei foreign exchange market. The evidence indicates that speculator prefer to trade on the Cosmos foreign exchange market than the Taipei foreign exchange market.
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chieh, Cheng shou, and 鄭守傑. "Evaluating foreign exchange hedging strategies." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/32961076876041437593.
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碩士逢甲大學
企業管理學系
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Foreign exchange plays an important role in the foreign trade. Foreign exchange risks, including transactions exposure, translations exposure and economic exposure, are frequently faced by importers and exporters in their foreign operations. Given these risks, it is obvious that a properly designed and executed foreign exchange hedging strategy can play a significant role in determining the financial success of a firm''s foreign operations. The purpose of this study is to evaluate three foreign exchange hedging strategies for exporters in Australia, Canada, England, Hong Kong, Japan, Singapore and Taiwan. Three possible hedging strategies, including “unhedged strategy”, “selective strategy” and “hedged strategy”, are considered by exporters in this study. The performance of each hedging strategy is evaluated at non-overlapping one-month, two-month, three-month and six-month horizons. Six evaluation criteria, including Mean-Variance (MV), Expected Gain Confidence Limit (EGCL) rule, Geometrical Mean (GM) rule, Stochastic Dominance (SD) rule, Mean-Gini Coefficient (MG) and Extended Mean-Gini Coefficient (EMG), are employed to evaluate different ex-post foreign exchange hedging strategies in this study. The conclusions can be summarized as follow: 1. The results of applying the MV, MG, EMG and EGCL rules to the distribution of forward-rate adjusted returns for three strategies for every horizons are almost shown that the selective strategy and hedged strategy dominate the unhedged strategy for any currency except New Taiwanese dollar. 2. For GM rule, the results show that the selective strategy dominates other strategies for most currency. Only for three- month and six-month horizons for the Japanese yen and for three-month horizon for the Singaporean dollar show that hedged strategy dominates other strategies. For New Taiwanese dollar, unhedged strategy dominates other strategies. 3. Under FSD rule, the findings show that efficient set includes three strategies, except for six-month horizon for the British pound and for two-month horizon for the New Taiwanese dollar. Under SSD rule, the results show that the selective strategy and hedged strategy dominate unhedged strategy except the New Taiwanese dollar. 4. For MV, MG, EMG, SD and EGCL rules, the results show that hedged strategy and unhedged strategy dominate the selective strategy for the two-month and six-month horizons, and no one strategy dominates nor is dominated by another risky strategy or the riskless strategy for the one-month and three-month horizons for New Taiwanese dollar.