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Currency traders and exchange rate dynamics: A survey of the U
Yin-Wong Cheung,Menzie D. Chinn +1 more
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In this paper, the authors report findings from a survey of United States foreign exchange traders, which indicates that electronic-brokered transactions have risen substantially, mostly at the expense of traditional brokers.Abstract:
We report findings from a survey of United States foreign exchange traders. Our results indicate that: (i) in recent years electronically-brokered transactions have risen substantially, mostly at the expense of traditional brokers; (ii) the market norm is an important det e rminant of interbank bid-ask spread and the most widely-cited reason for deviating from the conventional bid-ask spread is a thin/hectic market; (iii) half or more of market respondents believe that large players dominate in the dollar-pound and dollar-Swiss franc markets; (iv) technical trading best characterizes about 30% of traders, with this proportion rising from five years ago; (v) news about macroeconomic variables is rapidly incorporated into exchange rates; (vi) the importance of individual macroe c onomic variables shifts over time, although interest rates always appear to be important; (vii) economic fundamentals are perceived to be more important at longer horizons, while short-run deviations from the fundamentals are attributed to excess speculation and institutional customer/hedge fund manipulation; (viii) speculation is generally viewed positively, as enhancing market efficiency and liquidity, even though it exacerbates volatility; (ix) central bank intervention does not appear to have substantial effect, although there is general agreement that it increases volatility, and finally; (x) traders do not view purchasing power parity as a useful concept, even though a significant proportion (40%) believe that it affects exchange rates at horizons of over six months.read more
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Journal ArticleDOI
Currency traders and exchange rate dynamics: a survey of the US market
Yin-Wong Cheung,Menzie D. Chinn +1 more
TL;DR: In this paper, the authors report findings from a survey of United States foreign exchange traders, finding that electronic-brokered transactions have risen substantially, mostly at the expense of traditional brokers.
Journal ArticleDOI
What do we know about the profitability of technical analysis
Cheol Ho Park,Scott H. Irwin +1 more
TL;DR: In this article, the authors reviewed the evidence on the profitability of technical analysis and categorized the empirical literature into two groups, early and modern studies, according to the characteristics of testing procedures, and found that technical trading strategies are profitable in foreign exchange markets and futures markets, but not in stock markets.
Journal ArticleDOI
Manipulation and the Allocational Role of Prices
Itay Goldstein,Alexander Guembel +1 more
TL;DR: This article showed that trading without information is profitable only with sell orders, driving a wedge between the allocational implications of buyer and seller initiated speculation, and providing justification for restrictions on short sales.
Journal ArticleDOI
How is macro news transmitted to exchange rates
TL;DR: The authors showed that the arrival of macro news can account for more than 30% of daily price variance in the DM/$ exchange rate, which is not consistent with news effects being common knowledge that is impounded in price directly.
Journal ArticleDOI
Currency Returns, Intrinsic Value, and Institutional-Investor Flows
Kenneth A. Froot,Tarun Ramadorai +1 more
TL;DR: The authors decompose currency returns into (permanent) intrinsic-value shocks and (transitory) expected-return shocks, and explore interactions between these shocks, currency returns, and institutional-investor currency flows.