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.

A reappraisal of the efficiency of financial markets

Abstract: The NATO Advanced Research Workshop on "A reappraisal of the efficiency of financial markets".- Section 1 Survey Papers.- What do we know about stock market "efficiency"?.- Stock price reversals and overreaction to new events: A survey of theory and evidence.- Comments.- Seasonal anomalies in financial markets: A survey.- Comments.- Section 2 Size and Earnings Anomalies.- Earnings yield and size effects: Unconditional and conditional estimates.- A look at the validity of the CAPM in the light of equity market anomalies: The case of Belgian common stocks.- Market size, PE ratios, dividend yield and share prices: The UK evidence.- Comments.- Section 3 Seasonal and Other Anomalies.- Canadian calendar anomalies and the capital asset pricing model.- Comments.- An investigation of daily seasonality in the Greek equity market.- Comments.- Random walks and anomalies on the Copenhagen stock exchange in the 1890's.- Comments.- January skewness, another enigma?.- Forecasting price trends at the Lisbon stock exchange.- Comments.- Section 4 Initial and Repurchase Stock Offers.- The market for initial public offerings: An analysis of the Amsterdam stock exchange (1982-7).- French new issues, underpricing and alternative methods of distribution.- Going public in the F.R.G..- Trading rules around repurchase tender offers.- Section 5 Excess Price Volatility.- Price-conditional vector autoregressions and theories of stock price determination.- Comments.- Is the UK equity market consistent with the "efficient markets" model?.- Comments.- Rational expectations and perfect foresight prices.- A re-examination of excess rational price approximations and excess volatility in the stock market.- Comments.- The Italian stock market: Efficiency and price formation.- Section 6 General Papers.- The impact of EMH logic in practice.- Comments.- The efficiency of the Chicago Board of Trade futures and futures options markets.- Section 7 Currency Markets.- The stability of speculative profits in the foreign exchanges.- Further evidence against the efficiency of futures markets.- Comments.- Analysts expectations and risk premia in the forward foreign exchange market: An empirical investigation.- Comments.- Section 8 Commodity Markets.- Monetary and economic influences in econometric models of international commodity price behaviour.- Comments.- Market efficiency and commodity prices: Forecasting soyabean prices on the Chicago market.- Purchasing maize futures under a deadline: Testing and risk-yield evaluation of a price-trend buying policy.- Comments.- A state-space approach to forecasting commodity prices.- Section 9 Options Markets.- An empirical test of the option pricing model based on EOE transactions data.- The pricing of Euromarket warrants on Japanese stocks: A preliminary study.- Comments.- Workshop participants.

Economic determinants of foreign direct investment (FDI) in commodity producing sector: A case study of Pakistan

Abstract: This study examines the major economic determinants of FDI inflows in commodity-producing sector of Pakistan, by using time series data (quarterly) covering the period of 1996Q1-2008Q4. Augmented Dickey Fuller (ADF) test has been used to check the sationarity of the data. In this study, Co-integration and Error Correction Model (ECM) are used for estimation. Results reveal that Gross Domestic Product (GDP), Real growth Rate of GDP in Commodity-Producing Sector (GRP), Gross Fixed Capital Formation (GFCF), Foreign Exchange Reserves (FOREX), Degree of Trade Openness (RTO) and Per Capita income (PC) are key determinants of FDI inflows in commodity-producing sector of Pakistan. This study explores that all these variables are found statistically significant with positive signs. It seems that these variables have significant impact on FDI inflows into Pakistan in commodity-producing sector. Key words: FDI, commodity-producing sector, trade openness, GFCF, real growth rate, per capita income, Pakistan.

Dynamic correlation between stock prices and exchange rates

Abstract: This article examined the interaction between stock price and exchange rate and explored their dynamic correlation influenced by the stock market volatility. We used newly developed Smooth Transition Conditional Correlation–Generalized Autoregressive Conditional Heteroscedasticity (STCC–GARCH) model and applied weekly data from Indonesia, Korea, Malaysia, the Philippines, Taiwan and Thailand for the period 2000 to 2008 to test the dynamic correlation hypothesis. The empirical results indicated that there are significant price spillovers from stock market to foreign exchange market for Indonesia, Korea, Malaysia, Thailand and Taiwan. Furthermore, the correlation between stock and foreign exchange markets becomes higher when stock market volatility increases in Asian emerging markets except in the Philippines. These results are important for international investors and managers to devise hedging and diversification strategies for their portfolios. The evidence suggests that investors can hedge risk between ...

Foreign Exchange Rates Forecasting with Convolutional Neural Network

Abstract: In this paper, we introduce a model based on Convolutional Neural Network for forecasting foreign exchange rates. Additionally, a method of transforming exchange rates data from 1D structure to 2D structure is proposed. The transaction of the foreign exchange market has periodic characteristics, however, due to the technical limitations, these characteristics cannot be utilized by existing time series forecasting models. In this paper, we propose a model which can process 2D structure exchange rates data and put these characteristics to good use. Exchange rates Euro against US dollar, US dollar against Japanese yen and British Pound Sterling against US dollar are researched in this paper. Our experimental results show that, when compared with Artificial Neural Network, Support Vector Regression and Gated Recurrent Unit, the proposed model can effectively improve the accuracy of long-term forecasting.

Is There Private Information in the FX Market? The Tokyo Experiment

Abstract: It is a common view that private information in the foreign exchange market does not exist. We provide evidence against this view. The evidence comes from the introduction of trading in Tokyo over the lunch-hour. Lunch return variance doubles with the introduction of trading, which cannot be due to public information since the flow of public information did not change with the trading rules. Having eliminated public information as the cause, we exploit the volatility pattern over the whole day to discriminate between the two alternatives: private information and pricing errors. Three key results support the predictions of private-information models. First, the volatility U-shape flattens: greater revelation over lunch leaves a smaller share for the morning and afternoon. Second, the U-shape tilts upward, an implication of information whose private value is transitory. Finally, the morning exhibits a clear U-shape when Tokyo closes over lunch, and it disappears when trading is introduced.