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.

Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades

Abstract: We study the information in order flows in the world's largest over-the-counter market, the foreign exchange market. The analysis draws on a data set covering a broad cross-section of currencies and different customer segments of foreign exchange end-users. The results suggest that order flows are highly informative about future exchange rates and provide significant economic value. We also find that different customer groups can share risk with each other effectively through the intermediation of a large dealer, and differ markedly in their predictive ability, trading styles, and risk exposure.

Soft computing techniques applied to finance

Abstract: Soft computing is progressively gaining presence in the financial world. The number of real and potential applications is very large and, accordingly, so is the presence of applied research papers in the literature. The aim of this paper is both to present relevant application areas, and to serve as an introduction to the subject. This paper provides arguments that justify the growing interest in these techniques among the financial community and introduces domains of application such as stock and currency market prediction, trading, portfolio management, credit scoring or financial distress prediction areas.

India's Bond Market: Developments and Challenges Ahead

Abstract: While India boasts a world-class equity market and increasingly important bank assets, its bond market has not kept up. The government bond market remains illiquid. The corporate bond market, in addition, remains restrictive to participants and largely arbitrage-driven. Securitization, which once had the jump on other Asian markets, has failed to take off. To meet the needs of its firms and investors, the bond market must therefore evolve. This will mean creating new market sectors such as exchange-traded interest rate and foreign exchange derivatives contracts. It will mean relaxing exchange restrictions, easing investment mandates on contractual savings institutions, reforming the stamp duty tax, and revamping disclosure requirements for corporate public offers. This paper reviews the development and outlook of the Indian bond market. It looks at the market participants - including life insurance, pension funds, mutual funds and foreign investors - and it discusses the importance to development of learning from the innovations and experiences of others.

Market, interest rate and foreign exchange rate risk in Australian banking: A GARCH-M approach

Abstract: This study employs an extended version of the Generalised Autoregressive Conditional Heteroskedasticity in Mean (GARCH-M) model to consider the time-series sensitivity of Australian bank stock returns to market, interest rate and foreign exchange rate risks. Daily Australian bank portfolio returns, a market wide accumulation index, short, medium and long-term interest rates, and a trade-weighted foreign exchange index are used to model these risks over the period 1996 to 2001. The results suggest that market risk is an important determinant of bank stock returns, along with short and medium term interest rate levels and their volatility. However, long-term interest rates and the foreign exchange rate do not appear to be significant factors in the Australian bank return generating process over the period considered.