Topic
Foreign exchange market
About: Foreign exchange market is a research topic. Over the lifetime, 6661 publications have been published within this topic receiving 153384 citations. The topic is also known as: forex & FX.
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TL;DR: In this paper, the authors argue that the evolution of the London Stock Exchange's microstructure was path-dependent, which led to decreasing effectiveness and innovation by the members over time.
Abstract: By 1914, the London Stock Exchange listed and traded one-third of the public capital available to investors anywhere in the world. No other exchange could match it in terms of scale and scope of securities on offer, or in terms of the number of stockbrokers available to potential customers. The reason, we argue, is that the microstructure of the London Stock Exchange was also unique. The owners of the exchange (Proprietors) left governance of the exchange to the users of the exchange (Members). Because the owners of the exchange could only increase revenue by increasing the number of users, newer members constantly sought new sources of revenue through financial innovations. The evolution of the London Stock Exchange's microstructure was path-dependent – the initial conditions for membership set the separate incentives for the owners and operators of the exchange, and these determined how they responded to successive shocks over time. Path dependency, unfortunately, eventually led to decreasing effectiveness and innovation by the members over time.
52 citations
TL;DR: In this article, the authors test the hypothesis that hedging by international equity portfolio managers affects exchange rates and show that equity market appreciation over the month can be used to predict currency depreciation before the end-of-month fix.
52 citations
TL;DR: This paper examined the characteristics of the foreign exchange market in the 1920s floating period and found that nominal returns appear to exhibit properties consistent with asset prices on modern more well-organized financial markets; they appear to be well described by martingales and possess persistent time dependent heteroscedasticity.
52 citations
TL;DR: In this paper, the authors analyzed the up and down movements of the yen-dollar exchange with a focus on the up-and down movement of the tick data and showed that there exists a rather particular conditional probability structure with such high frequency data.
Abstract: We analyze tick data of yen-dollar exchange with a focus on its up and down movement. We show that there exists a rather particular conditional probability structure with such high frequency data. This result provides us with evidence to question one of the basic assumption of the traditional market theory, where such bias in high frequency price movements is regarded as not present. We also construct systematically a random walk model reflecting this probability structure.
52 citations
TL;DR: In this paper, the authors examined the short and medium run dependence structures between oil and currency markets for MENA, other developing and developed countries, using a novel multiresolution decomposition method, namely the variational mode decomposition (VMD), along with a battery of time-invariant and time-varying symmetric and asymmetric copula functions.
52 citations