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1
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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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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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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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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Lau, Sun-wo. "Government regulation of futures market /." [Hong Kong : University of Hong Kong], 1985. http://sunzi.lib.hku.hk/hkuto/record.jsp?B12316854.
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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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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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Dong, Xue. "Foreign exchange rate and financial market imperfections." Thesis, Cardiff University, 2018. http://orca.cf.ac.uk/111019/.
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The thesis discusses exchange rate dynamics in a small open economy Real Business Cycle model with financial frictions, aiming to investigate whether financial frictions in the global capacity to bear exchange rate risk had influences on Sterling real exchange rate dynamics between 1975 and 2016. In the model, international financial intermediaries as arbitrageurs face credit constraints and bear the risks caused by imbalances in the supply and demand of international bonds. The model has been estimated by using a simulation-based Indirect Inference approach, which provides a natural framework for testing the hypothesis implied by the model. The basic idea of Indirect Inference estimation is to search across model’s parameter space for the parameter set that the simulated data and the observed data look statistically the same from the vantage point of the chosen auxiliary model. The result shows that a comfortable non-rejection of the hypothesis that exchange rate dynamics are affected by financial forces at 5% significant level. It implies that financiers indeed require a risk premium to intermediate capital flows, and the uncovered interest parity fails to hold. Monte Carlo experiments support that the power of the Indirect Inference test to reject a false hypothesis is high; hence the results could be relied on. Empirical studies based on estimated model address that financial frictions will act as amplifiers of external shocks on the real exchange rate and other key UK macroeconomic variables. In addition, shocks to financial forces are the main driving forces behind large and sudden depreciations of the sterling exchange rates in the aftermath of the collapse of Lehman Brothers and the Brexit vote.
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Chan, Kin-pun, and 陳健彬. "Market revolution: the path to more efficientforeign exchange market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1994. http://hub.hku.hk/bib/B31265959.
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Panizzo, Jose Manuel Carrera. "Market microstructure of the foreign exchange market : lessons from Mexico." Thesis, Lancaster University, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.302418.
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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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Nieuwland, Frederik Gertruda Maria Carolus. "Speculative markets dynamics an econometric analysis of stock market and foreign exchange market dynamics /." Proefschrift, Maastricht : Maastricht : Universitaire Pers Maastricht ; University Library, Maastricht University [Host], 1993. http://arno.unimaas.nl/show.cgi?fid=6219.
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Nguyen, Tran Phuc. "Exchange Rate Policy and the Foreign Exchange Market in Vietnam, 1985-2009." Thesis, Griffith University, 2012. http://hdl.handle.net/10072/365707.
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Since the mid-1980s, when Vietnam embarked on a transitional path to a market-oriented economic system, the country’s exchange rate regime has undergone major changes. To what extent have these changes facilitated the pursuit of the authorities’ main policy priorities? How appropriate are the current exchange rate setting arrangements, in light of domestic and international developments? These questions are of potential interest to researchers as well as to policy-makers not only in Vietnam, but also in other developing and transitional economies. Yet they are difficult to answer satisfactorily, partly because of the opaque nature of information about the Vietnamese authorities’ policy objectives and partly because of a relative scarcity of systematic and rigorous studies of these issues in the Vietnamese context. The purpose of this study is to help address this relative gap in the literature and to provide a better understanding of Vietnam’s exchange rate policy since the late 1980s and its consequences for macroeconomic performance and foreign exchange (forex) market development. In pursuing these objectives, this study employs three methods of analysis: (i) analytical review and synthesis; (ii) econometric analysis; and (iii) questionnaire survey. These different analytical techniques are applied in a complementary and integrated way to provide a broadly-based analysis of different but inter-related aspects of exchange rate policy and the forex market in Vietnam.Thesis (PhD Doctorate)
Doctor of Philosophy (PhD)
Griffith Business School
Griffith Business School
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Klaas, Sinoxolo. "Forecasting volatility on the rand foreign exchange market." Thesis, Nelson Mandela Metropolitan University, 2015. http://hdl.handle.net/10948/7892.
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Exchange rates are one of the most essential determinants of a country's economic performance in terms of level of trade. Since the exchange rate is one of the best indicators of competitiveness, this study sought to examine the behaviour of the rand against other emerging countries in the South African exchange market. The study explored the trends and estimated the forecasting accuracy of six currency markets using ARCH-family and Random walk models over the period 1994 to 2013.The six currency markets examined were the Rand/Dollar, Rand/Pound, Rand/Euro, Rand/Yen and Rand/Pula. The Rand exchange rates did exhibit the characteristics of volatility clustering and asymmetric effects suggesting volatility of the Rand. Exchange rates tend to rise when there is more bad news in the financial market than good news and positive shocks imply a higher next period conditional variance than negative shocks of the same sign.
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Benson, Robert D. "Market models and exposure management in foreign exchange." Thesis, Imperial College London, 1991. http://hdl.handle.net/10044/1/8659.
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Skamnelos, Ilias. "Essays on banking and foreign exchange market instability." Thesis, University of Nottingham, 2003. http://eprints.nottingham.ac.uk/11562/.
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Financial intermediation has been associated with several risks. We study sunspot panics, information-based bank runs, contagion, uncertainty about consumption time preference, twin crises and a number of policies attempting to resolve these issues. We offer a basic model where sunspot panics and information-based bank runs co-exist. This framework can be used to evaluate a number of policies. We examine closely the policy of suspension of deposit convertibility and observe a trade-off regarding its implementation. Although suspension eliminates sunspot panics, it presents important drawbacks in an environment vulnerable to information-based bank runs, thus generating a dilemma for policy makers. It removes the advantage of discretionary liquidation of long-term technologies when portfolio returns are expected to be extremely low, and eliminates the signalling property of suspension that continuation of investment is beneficial, which can mitigate the spread of contagion. We offer an alternative solution, with discretionary rules accounting for every possible state of the economy. Studying uncertainty about consumption time preference, we demonstrate that partial suspension is welfare improving on the outcome of full suspension. Nevertheless, in the absence of limitations preventing the formation or the efficient operation of an inter-bank market, borrowing and lending among intermediaries will be the optimal solution. In demonstrating this, we make sure we respect the sequential service constraint that necessitates redemption obligations to be honoured in a first-come first-served basis. Opening up the economy, by the addition of a foreign exchange market and by assuming a fixed exchange rate regime, we study the possibility of twin crises. We abstract from foreign capital as the source of instability and focus on the role of domestic depositors. Speculative opportunities in the currency markets can result in banking crises, while banking crises can lead to betting against the exchange rate regime. Suspension of convertibility can limit funds for speculation, but at the expense of depositors' welfare, thus raising a dilemma for policy makers.
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Gould, Martin D. "Electronic trading in the foreign exchange spot market." Thesis, University of Oxford, 2013. http://ora.ox.ac.uk/objects/uuid:4339165e-cadc-44e2-b52e-ba6be1303f65.
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During the past 30 years, the proliferation of electronic trading has catalysed profound structural change in the global foreign exchange (FX) spot market. Today, more than 60% of the market's volume occurs via electronic trading platforms, which provide traders with round-the-clock market access from anywhere in the world. Such platforms offer several practical benefits that have encouraged market participation from a broad new class of financial institutions and have thereby spurred market growth. The most widely used electronic trading platforms in the FX spot market incorporate several features that differentiate them from those used in other financial markets. These features raise many important questions about order flow, market state, price formation, trader behaviour, and volatility. Despite the enormous trade volumes that such platforms facilitate, these questions have received almost no attention to date. In this thesis, we study a recent, high-quality data set from a large electronic trading platform in the FX spot market in order to investigate several aspects of trading via this mechanism. We calculate a wide range of statistics regarding order flow and market state, and we highlight how our findings contrast to those reported by empirical studies of electronic trading platforms in other markets. We study the autocorrelation properties of returns, absolute returns, and order flow, and we investigate the extent to which the market's organization impacts price formation. We also introduce a model designed to reproduce the most important properties of trading via such a platform. We derive several results regarding the model's temporal evolution, and we simulate the model to investigate how the interactions between individual traders influence volatility. We conclude that electronic trading platforms in the FX spot market retain many desirable features of centralized markets while providing traders with explicit control over their personal trading partnerships.
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Baker, Christopher. "Mixed Monte Carlo in the foreign exchange market." Master's thesis, University of Cape Town, 2017. http://hdl.handle.net/11427/25193.
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The stochastic differential equation (SDE) describing the spot FX rate is of central importance to modelling FX derivatives. A Monte Carlo estimate of the discounted individual payoffs of FX derivatives is taken to arrive at the price, provided there does not exist a closed form solution for the price. One propagates the FX spot rate through time under risk-neutral dynamics to realise the before-mentioned payoffs. A drawback to Monte Carlo becomes evident when the model dynamics become more complicated, such as when more dimensions are added to the dynamics of the model. These additional dimensions can be stochastic volatility and/or stochastic domestic and foreign short rates. This dissertation describes the calibration of such a model using mixed Monte Carlo, as described in Cozma and Reisinger (2015), to both model-generated and market data. Profit and loss analysis of hedging FX derivatives using the mixed Monte Carlo method is conducted when hedging against both model-generated and market data .
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Lin, Jigeng. "Forward market efficiency and foreign exchange rate determination." Diss., The University of Arizona, 1994. http://hdl.handle.net/10150/186807.
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This dissertation studies the simple efficiency hypothesis, which states that the forward exchange rate is an unbiased and efficient predictor of the future spot exchange rate. This hypothesis has been extensively tested, and is overwhelmingly rejected. However, researchers are unable to determine the exact cause of rejections since it is the result of joint assumptions of risk neutrality and rational expectations. An interest rate differential model is developed assuming that the spot rate follows a random walk process and the covered interest rate parity condition holds. In this model, the spot rate is equal to the sum of the lagged forward rate and the interest rate differential, and a random error term. This model shows that the interest rate differential term belongs to the relationship between the spot and lagged forward rates, but it is not accounted for by the simple efficiency hypothesis. Therefore, the simple efficiency hypothesis is rejected because the interest rate differential term belongs to the spot and forward relationship rather than because of assumptions of risk neutrality or rational expectations. Empirical evidence supports this model using the exchange rates of the United Kingdom, Canada, Germany, Japan, and Switzerland versus the United States. Furthermore, the time series properties of interest rate differentials are sensitive to changes in monetary and fiscal policies. The interest rate differential is non-stationary, and the spot and forward rates are not cointegrated for samples between 1982 to 1993, which is a strong indication that the simple efficiency hypothesis is rejected because of interest rate differentials.
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Eng, Yong Heng. "Exchange market efficiency, currency substitution and exchange rate determination : issues, implications and evidence for the Asian currency market." Thesis, McGill University, 1987. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=72094.
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This thesis examines the empirical validity of the efficient market hypothesis, currency substitution, purchasing power parity theory, interest rate parity theory and the monetary approach to exchange rate for the foreign exchange markets of Japan, Singapore and Hong Kong. The empirical results give support to the efficient market hypothesis, mixed evidence for the existence of currency substitution, a strong indication for the long run purchasing power parity theory, support for the inclusion of expectations variable in the interest parity theory, and rejection of the monetary approach to the exchange rate.
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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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Miao, Teng. "Essays in microstructure analysis in the foreign exchange market." Thesis, City University London, 2010. http://openaccess.city.ac.uk/12193/.
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The aim of this thesis is to investigate the effects of foreign exchange order flows on exchange rate and stock market changes, in particular to examine the forecasting power of order flows and better understand the nature of the private information conveyed in order flows in the foreign exchange market. Chapter 1 investigates the performance of foreign exchange customer order flows (six major exchange rates over 3.5 years) as an additional explanatory variable to technical analysis to forecast exchange rate changes by applying genetic algorithm non-linear methodology. Using the interval permutations technique, we suggest that the improvement of order flows to the performance of technical analysis is not consistently present. Chapter 2 examines the role daily customer GBPUSD order flows play in explaining concurrent and future stock market changes in both UK and US, and discusses the heterogeneous effects from different groups of customers. The basic hypothesis tested is that if foreign exchange order flows have days-ahead effects on future stock market changes, it suggests that at least a part of the information carried by foreign exchange order flows is relevant for stock markets. Using daily GBPUSD order flows over 3.5 years from 2002 to 2006 provided by RBS, we find that: 1) impacts of order flows from corporate customers on stock markets are positive, while impacts of order flows from unleveraged financial institutions are negative; 2) impacts of corporate order flows are longer than those of financial order flows, especially for the US stock market, suggesting that the two groups of customers may hold different types of private price-relative information. We hypothesize that corporate customers of the bank are mainly based in the UK. When the world economy is doing well, multi-national companies are selling more goods in the US and repatriate more foreign currencies back to UK, during which more GBP or EUR are converted from US Dollars. More sales of US Dollars then reflect the good future prospects of the world economy and stocks listed in both US and UK will rise in value. For unleveraged financial institutions, when the world economy is going bad, clients of those mutual funds which are based in the UK will ask for redemptions of their funds. Assuming the bank services a client base that is UK oriented, this leads to the repatriation of money from abroad back to UK. The buying of GBP or EUR in exchange for US Dollars then takes place alongside sales of US and UK stocks. Foreign exchange flows into GBP or EUR from unleveraged funds forecast poor future stock market returns globally. Chapter 3 empirically tests the effects of EURUSD order flows from different groups of counterparties on the US stock market changes at high frequencies ranging from 1-minute to 30-minute, using a unique set of tick-by-tick order flows data obtained from a leading European commercial bank. We find that: 1) Order flows from “corporates” are positively related to exchange rate changes, while order flows from “financials” are negatively signed, which contradict many well-documented papers such as Evans and Lyons (2002a) (this high frequency forecasting power partly explain the failure of the trading strategy based on our daily order flows data in chapter); 2) The effects of order flows from “financials” are negative on stock market changes, while the effects of orders from “corporates” are positive on stock market changes, which further confirms our findings in chapter 2. Similar to chapter 2, the cross market effects documented in chapter 3 also suggest that there is information content in foreign exchange order flows and that it is likely to be macroeconomic in nature, relevant for stock markets. Chapter 4 concludes and suggests some directions of refinements and further research.
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SANTOS, MARCELO BITTENCOURT COELHO DOS. "RISK PREMIUM EVIDENCES IN THE BRAZILIAN FOREIGN EXCHANGE MARKET." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2013. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=21911@1.
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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIROCOORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR
PROGRAMA DE SUPORTE À PÓS-GRADUAÇÃO DE INSTS. DE ENSINO
Esta dissertação tem como objetivo buscar evidências de prêmio de risco a partir do mercado de opções e de futuro de dólar no Brasil. Para isso dois ensaios foram realizados: um que mede o prêmio de risco por volatilidade no mercado de opções e outro que mede o prêmio de risco cambial no mercado futuro. No primeiro caso, o prêmio é estimado como o excesso de retorno de um portfolio protegido. No segundo caso, o prêmio é estimado com base na Teoria da Paridade de Juros ajustada a risco pelo modelo CGARCH-M. Verificou-se evidências de forward bias puzzle e de prêmio de risco por volatilidade e cambial ambos negativos e variantes no tempo. O primeiro é responsável por aumento nos preços das opções de moeda enquanto o segundo é consistente com a teoria de média-variância, ou seja, o investidor avesso ao risco requer mais retorno com o aumento do risco. Além disso, choques não antecipados possuem influência na determinação do componente de longo prazo da volatilidade do prêmio de risco cambial. Em momentos de incerteza global no mercado e aumento nas restrições de liquidez a volatilidade de curto prazo se eleva. Entretanto somente com o prêmio de risco não é possível explicar os preços viesados. Portanto, são necessários estudos futuros que envolvam tanto custo de transação, quanto o desenvolvimento de modelo econômico mais tratável para determinação da taxa de câmbio.
This work aims to seek evidence of risk premium in the option and future foreign exchange markets of dollar in Brazil. For that we used two essays: one that measures the premium for volatility risk in the option market and other which measures the currency risk premium in the future market. In the first case, the premium is estimated as excess return of hedge portfolio. In the second case, the premium is estimated based on risk-adjusted Interest Rate Parity Theory from a CGARCH-M model. There was evidence of forward bias puzzle and premium for volatility and for currency risk both negative and time-varying. The first is responsible for increasing currency option price, while the second is consistent with the mean-variance theory, so risk averse investors required more return when they face higher risk. In addition, unanticipated shocks have an influence in determining the long-term volatility component of currency risk premium. In times of global market uncertainty and increasing liquidity constraints the short-term volatility raises. But only the risk premium can not explain the price biased. So transaction cost and a more effective economic model must be including in futher studies about exchange rate discovering.
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Correia, Carlos de Jesus. "Tests on the efficiency of the South African foreign exchange market." Master's thesis, University of Cape Town, 1990. http://hdl.handle.net/11427/15853.
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Jones, C. M. "Automated technical foreign exchange trading with high frequency data." Thesis, University of Cambridge, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.343139.
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Filippou, Ilias. "Essays on empirical asset pricing in the foreign exchange market." Thesis, University of Warwick, 2014. http://wrap.warwick.ac.uk/77113/.
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This thesis focuses on the dynamics of currency premia. Specifically, we study the time-series and cross-sectional variation of currency carry trade and momentum strategies. In the first chapter, we study the role of domestic and global factors on payoffs of portfolios built to mimic carry, dollar carry and momentum strategies. We construct domestic and global factors from a large dataset of macroeconomic and financial variables and find that global equity market factors render strong predictive power for carry trade returns, while U.S. inflation and consumption variables drive dollar carry trade payoffs and momentum returns are driven by U.S. inflation factors. In addition, global factors can capture the countercyclical nature of currency premia. We also find evidence of predictability in the exchange rate component of each strategy and demonstrate strong economic value to a risk-averse investor with mean-variance preferences. In the second chapter, we propose a measure of global political risk relative to U.S. that captures unexpected political conditions. Global political risk is priced in the cross-section of currency momentum and it contains information beyond other risk factors. Our results are robust after controlling for transaction costs, reversals and alternative limits to arbitrage. The global political environment affects the profitability of the momentum strategy in the foreign exchange market; investors following such strategies are compensated for the exposure to the global political risk of those currencies they hold, i.e., the past winners, and exploit the lower returns of loser portfolios. In the third chapter, we identify a unique dimension of currency carry trades that it is related to the intensity of technology transition across countries. Particularly, we show that technology diffusion is a fundamental determinant of currency premia and it is priced in the cross-section of currency excess returns. We define a novel risk factor that captures the cross-country diffusion of technology. Investment currencies load positively on the global technology diffusion factor while funding currencies load negatively. Intuitively, we show that carry traders require a risk premium for financing risky innovation in countries with low technology diffusion.
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Giampaoli, Iacopo. "Spectural analysis of ultra-high-frequency foreign exchange market data." Thesis, University of Essex, 2012. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.571476.
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This thesis presents a novel application of advanced methods from Fourier analysis to the study of ultra-high-frequency (UHF) financial data, both in a univariate and a multivariate setting. The use of the Lomb-Scargle Fourier Transform (L8FT) provides a robust and natural framework to take into account the irregular spacing in the time domain, whilst avoiding restrictive assumptions, complex model specifications, or resorting to traditional imputation methods, such as interpolation and regular resampling, which not only cause artefacts in the data and loss of information, but also the generation of spurious information. An event-based approach (intrinsic time), which is, by its nature, inhomogeneous in physical time, is then employed using different directional-change event thresholds to filter the foreign exchange (FX) tick-data, leading to a power-law relationship. The calculated spectral density demonstrates that the price process in intrinsic time contains different periodic components, implying the existence of new stylised facts of UHF data in the frequency domain. The intrinsic time scale allows, in addition, to model the behaviour of heterogeneous agents that differ in their perception of the market, in their risk profiles, and hence in their trading frequencies. The inhomogeneous nature of UHF data makes the analysis of lead-lag relationships between different financial variables or markets partic- ularly problematic. Most estimators in the literature require either regular sampling of the unevenly-spaced data, or interpolation onto an equally-spaced grid, which in turn create spurious data and impu- tation bias. Therefore, this thesis suggests the use of cross-spectral analysis to study lead-lag relationships between different FX rates. The LSFT and Welch-Overlapped-Segment-Averaging (WOSA) procedure, in combination with an intrinsic time scale, permit fast pro- cessing of all transaction data at arbitrarily high frequencies, whilst allowing to draw inferences on the behaviour of heterogeneous market agents. The spectral analysis reveals the existence of various lead-lag patterns between different exchange rates, that could potentially be employed to develop new algorithms, or to optimise existing strategies in automated trading. The findings herein suggest that this framework, built upon the LFST, is an efficient method to identify periodic patterns in individual time series, as well as to analyse lead-lag relationships between multiple series, and hence, would be a valuable tool for researchers and prac- titioners alike.
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Kim, Bonghan. "A study of risk premiums in the foreign exchange market." Connect to resource, 1994. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1265035198.
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Hayward, Rob. "Towards a model of speculation in the foreign exchange market." Thesis, University of Brighton, 2013. https://research.brighton.ac.uk/en/studentTheses/28e195b4-7c9d-4a0a-b4e5-6bc2d5878407.
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The recent slowdown in global economic activity has shown that macroeconomic models without a well-structured representation of the financial sector will fail to provide understanding of the way that disruptions in credit markets, capital markets and banking can affect the rest of the economy. An investigation of foreign exchange speculation is used to get a better knowledge of the interaction between the financial sector and the economy as a step towards improving macroeconomic models and policy. The first part of this research looks at speculation at the macroeconomic level by using a structured vector auto regression (SVAR) to assess the relationship between capital flows and the US real exchange rate. The second assesses whether speculation can be used to identify price reversals in foreign exchange markets. The final section seeks to understand more about speculative risk with a detailed analysis of uncovered interest parity and the speculative attempt to take advantage of times when it does not hold. Speculative activity is a significant contributor to changes in the real exchange rate. No informational content is found in the extremes of speculative activity but it is shown that speculators are compensated for taking crash risk and that their activity may increase the amount of crash risk in the markets where they are operating. The main contributions of this work are applying a microstructure approach at the macro level; adding speculation to a model of international capital flows; the use of a unique series of options data to identify speculative sentiment; using a carry trade model to understand more about uncovered interest parity and the returns to speculation; using the event study method to investigate speculative extremes; and using all this to suggest ways to improve macroeconomic models and policy.
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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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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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Hsiao, Tse-an, and 蕭澤安. "Selectively Hedging in Foreign Exchange Market." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/12358181979621636256.
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碩士逢甲大學
國際貿易所
96
After Bretton Woods Agreement collapsed, individual investors or portfolio managers have long exposed to the foreign exchange rate risks. Comparing to individual investors, the managers in global or multinational corporations (MNCs), exporters and importers are easier to expose themselves to foreign exchange risk. Without doubt, the value of firms will be deeply affected by exchange rate fluctuations which play key factors in international financial market, international trade and foreign direct investment (FDI). Thus, how to use suitable international parity conditions to establish a theoretical value of foreign exchange rate, and based on the theoretical value tailoring and carrying out the foreign exchange hedging strategies to pursuit a higher value of the company are critical issues for the financial success of MNCs’ foreign operation. The purpose of this study is to compare the effects of different hedging strategies which have been discussed in the literature using updated data for the period May, 1990 to August, 2007, and adopting both return per unit of risk measures and stochastic dominance rules. The performance is evaluated for seven foreign exchange rates by using ten strategies. No matter in 1-month, 3-month or 6-month horizons, we find a strategy which hedges when forward rate is at a premium generally outperforms the other strategies for the research period. Similar findings are also emerging when we employ the stochastic dominance rules. Moreover, the always hedge would be inferior to the never hedge essentially.
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Lin, Kuen-Liang, and 林昆良. "Technical Analysis in Foreign Exchange Market." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/42756871077273018705.
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碩士臺灣大學
國際企業學研究所
95
The economics of exchange rates is one of the primary focuses of international economists, who analyze the foreign exchange rates from the fundamentals of economics. Many academic literatures and empirical studies, however, indicate the prediction ability of traditional economic models is not significant. The observation becomes the puzzle of the exchange rate determination. Therefore, other scholars began to attempt to examine exchange rate fluctuation via the market microstructure theory. Whether it is fundamental analysis, market microstructure or technical analysis, the ultimate purpose is the same – to answer one most basic question: Can the foreign exchange rates be predicted? From the perspective of technical analysis, this study conducts back testing through program trading systems. The period of study spans from 1986 to 2005. For the daily exchange rate data of 11 currencies, 8 frequently used technical analysis indicators are selected: MA, MACD, KD, SAR, MTM, SAR, DMI and Channel. Findings of the empirical analysis indicate: 1.The trend-following trading systems is superior to the range trading systems. 2. Technical analysis is cannot help obtain excess returns. Therefore, the weak form foreign exchange market efficiency stands.
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Chang, Ya-Ting, and 張雅婷. "Liquidity in the Foreign Exchange Market." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/36bvhr.
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博士國立中央大學
經濟學系
106
In this dissertation, I investigate the effect of liquidity risk on currency. The first essay study dynamics in liquidity commonality across currencies during the 2008-2009 global financial crisis and the 2009-2011 European sovereign debt crisis. This study found that during the crisis period or the uncertainty triggered by the news release, there exist stronger comovement between liquidity in individual currency pairs and the aggregate systematic liquidity among many currency pairs. This finding implies that that news releases have important functions in times of financial crisis. The second essay investigates how and why liquidity risks spread across currencies. In the framework of vector auto-regression, I discovered strong spillovers during market uncertainty period. Liquidity risk among markets increases obviously at this time highlighting the role of crash risk during the crises. In addition, I find that the strength of liquidity spillovers is related to the macroeconomic economy.
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鄭宛靜. "Exchange Rate Target Zone and Foreign Exchange Market Disturbance." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/44479981497657372330.
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碩士佛光大學
經濟學系
98
Stable foreign exchange market in recent years has been the focus of national government policy, given the implementation of a fixed exchange rate must have a lot of foreign exchange reserves support, so as not to affect the national economic system. The implementation of the floating exchange rate, not only the uncertainty of exchange rate fluctuations, but also increase foreign exchange risk of importers and exporters, so governments and economists are looking for the most appropriate exchange rate system. This paper is based on the Krugman (1991) model and add the expectations of people on the exchange rate and commodity prices in a small open economy which including commodity markets, money market and foreign exchange markets, to study if a government can stabilize the foreign exchange market on an imperfect capital moving small open economy system by setting up a "exchange rate target zone". This study is also analyzed the case: when a government implemented the exchange rate target zone with the same economic shock but some people trust the government determined to implement policies and some people don’t. According to the analysis, we found that: 1. When some economic shocks happen, a government set up the exchange rate target zone may not have the exchange rate honeymoon effect. It depends on "the expected amount of exchange rate changes" and "the expected amount of commodity price changes” to the amount of capital movement. 2. When some economic shocks happen, a government set up the exchange rate target zone but some people trust that the government determined to implement policies and some people don’t, will increase the exchange rate volatility. The more distrust of the determination of the policy the more variance of exchange rate and also impact of commodity price volatility.
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Kan, Ya-ting, and 甘亞婷. "Dynamic Relationship between Stock Market and Foreign Exchange Market." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/22877517282958631969.
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碩士國立高雄第一科技大學
金融營運所
93
Great crash in US security market in 1987, pound stering large devaluing in 1992, Asian financial crisis in 1997, these great financial incidents have produced jumbo fluctuation of security and exchange market in many countries, and made investors incur huge losses if they didn’t adopt proper hedging strategies. The research focuses on exploring the first moment between security and foreign exchange markets, and analyzing how the fluctuation among one market transmit to another market by second moment methods, and then incorporate the dynamic coefficient correlation model to capture the characteristic of fluctuation with time simultaneously. The empirical results show that DCC-GARCH model verifies the security and foreign market interaction between return and volatility. While the great international incident happens, one of them has huge fluctuation, it will also make the other one fluctuation ,too. At the same time , the dynamic coefficient correlation will increase with volatility. Besides that, the hedge ratio estimated by DCC-GARCH can capture the most volatility of portfolio. To sum up, adopting the DCC-GARCH model will reduce much foreign exchange risk.
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Brause, Alexander F. "Foreign Exchange Market Interventions: New Empirical Views of Emerging Markets." Doctoral thesis, 2010. https://nbn-resolving.org/urn:nbn:de:bvb:20-opus-55207.
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Since the beginning, central banks have used a wide range of instruments to achieve their ultimate purpose of price stability. One measure in the authorities toolbox is a foreign exchange market intervention. The discussion about this instrument has come a long way. So far, the discussion relied mainly on industrialized countries' experiences. The negative outcomes of most studies with respect to the effectiveness of the intervention tool, opened up a discussion, whether interventions should be used by the authorities to manage exchange rate aspects. Consequently, the question about the dynamics of foreign exchange market interventions is now open to the subject-matter of developing and emerging market countries. Monetary policy in those countries often constitutes an active management of exchange rates. However, the basic discussions about intervention dynamics have had one essential drawback. Neither the primary literature of industrialized countries nor studies dealing with developing countries have considered the fact that intervention purposes and the corresponding effects are likely to vary over time. This thesis is designed to provide the reader with essential issues of central bank interventions, and aims to give further, as well as new contributions, in terms of empirical research on interventions in emerging markets. The main objectives of this study are the analysis of central bank intervention motives, and the corresponding effects on exchange rates in emerging markets. The time dependency of both issues is explicitly considered, which states a novelty in academic research of central bank interventions. Additionally, the outcomes are discussed against the background of underlying economic and monetary policy fundamentals. This could well serve as a starting point for further researchSeit jeher haben Notenbanker eine Vielzahl von Maßnahmen zur Sicherstellung ihres Hauptziels der Preisniveaustabilität eingesetzt. Ein Instrument aus dem Werkzeugkasten von Notenbanken ist die Devisenmarktintervention. Der Großteil der akademischen Diskussion bezog sich bei der Analyse dieses Instruments bisher auf die Erfahrungen von Industrienationen. Die negativen Ergebnisse dieser Studien führten in den letzten Jahren zu der weitverbreiteten Meinung, dass Interventionen am Devisenmarkt kein geeignetes Instrument zur Steuerung von Wechselkursen darstellen. Folglich befasst sich die empirische Literatur mehr und mehr mit den Interventionserfahrungen von Emerging Markets. Geldpolitik in Emerging Markets zeichnet sich oftmals durch eine aktive Wechelkursteuerung aus. Die aktuelle akademische Diskussion über Interventionsdynamiken (Motive und Effektivität) hat bisher jedoch einen zentralen Aspekt vernachlässigt. Weder die Analysen von Industrienationen, noch aktuelle Studien zu Emerging Markets berücksichtigen die Möglichkeit, dass Interventionsmotive und die Effekte von Devisenmarkttransaktionen über die Zeit hinweg variieren. Diese Arbeit zielt darauf ab, dem Leser die elementaren Bestandteile der aktuellen Diskussion über Notenbankinterventionen am Devisenmarkt näher zu bringen und neue Aspekte in Bezug auf Emerging Markets zu diskutieren. Der Kernpunkt befasst sich mit der Frage, warum Notenbanken in Emerging Markets am Devisenmarkt intervenieren und ob diese Interventionen effektiv sind. Darüber hinaus wird der Aspekt der zeitlichen Veränderung von Interventionsmotiven und deren Auswirkungen auf den Wechselkurs untersucht. Die erzielten Ergebnisse werden danach vor dem Hintergund der ökonomischen und geldpolitischen Rahmenbedingungen diskutiert. Dieser letzte Punkt soll als Startschuss für die mögliche, zukünftige empirische Diskussion über die Gründe für Interventionsmotive und Interventionseffekte angesehen werden
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王宣博. "The relationship between foreign investment, stock market and exchange market under the Central Bank foreign exchange rate intervention." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/00324279232191303198.
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YI, HUANG CHANG, and 黃昶議. "Technical analysis of applied foreign exchange market." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/ybe422.
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Lin, Yun-yung, and 林允永. "The Cointegration Test of Foreign Exchange Market." Thesis, 1993. http://ndltd.ncl.edu.tw/handle/38916334585495363804.
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CHENG, CHUNG-MIN, and 鄭仲閔. "FOREIGN EXCHANGE MARKET VALUE TRADING ANALYSIS ANDARBITRAGE." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/57345236971158819898.
Full textAbstract:
碩士國立臺北大學
國際財務金融碩士在職專班
101
In nearly decades, following the rapid development of compute-tech and internetwork, the regional markets are able to be combined in a whole without any concern of the time difference or barrier, therefore, the financial market is moving forward to globalized and liberalization. Furthermore, under the evolution of the financial engineering, all kinds of financial products and derivatives are innovated promptly. Thus, those products and derivatives are prompted to all clients, and surely the main stream in profit making among all financial industries. By interpreting the actual cases of offshore banking, applicable derivatives, and relative trading transactions made within the foreign exchange market, this research is divided into three steps, - introducing the capability of offshore company’s investments by SWOT analysis, - evaluating the financial instruments with scenario analysis, - determining the opportunities of value trading and arbitrage by generating the information from the markets. Therefore, in order to ensure the profit making from FX investments, all reliable suggestions from technical analysis, momentums, and hedging activities should be considered into the decision making process of investing strategy. Under the consideration of risk control management, all market participators, such as company itself, banks, and FX brokers should be able to create the professions and certified the moral standards by following opinions. - For traders, sale representatives, auditors, and anyone who involves the trading transactions, the understandings of risk and professional ethics should be well trained and take into a checking system. - For all counterparties and FX traders, the concepts of risk management and the standards of professional ethics should be enforced and executed. - For sale representatives, the pricing models and the strategy of investments should rely on the actual needs from clients under serious consideration of risks and returns. All complicated products should be avoided, and aggressive strategy should be made based on clients’ potentials and risks taken.