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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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Journal ArticleDOI
TL;DR: In this article, the authors developed a model of the social and economic interaction of speculators in a securities or foreign exchange market, where both chartist and fundamentalist strategies are pursued by traders.
Abstract: This paper develops a model of the social and economic interaction of speculators in a securities or foreign exchange market. Both chartist and fundamentalist strategies are pursued by traders. The formalization of chartists behavior combines elements of mimetic contagion and trend chasing leading to waves of optimism or pessimism. Furthermore, changes of strategies from chartist to fundamentalist behavior and vice versa occur because speculators compare the performance of both strategies. The dynamic system under study encompasses the time development of the distribution of attitudes among traders as well as price adjustment. Chaotic attractors are found within a broad range of parameter values. The distributions of returns derived from chaotic trajectories of the model share important characteristics of empirical data: they exhibit high peaks around the mean as well as fat tails (leptokurtosis) and become less leptokurtotic under time aggregation.

663 citations

Journal ArticleDOI
Geert Bekaert1
TL;DR: This paper developed a return-based measure of market integration for nineteen emerging equity markets and examined the relation between that measure, other return characteristics, and broadly defined investment barriers, concluding that the most important de facto barriers to global equity-market integration are poor credit ratings, high and variable inflation, exchange rate controls, lack of a high-quality regulatory and accounting framework, the lack of sufficient country funds or cross-listed securities, and the limited size of some stock markets.
Abstract: This article develops a return-based measure of market integration for nineteen emerging equity markets. It then examines the relation between that measure, other return characteristics, and broadly defined investment barriers. Although the analysis is exploratory, some clear conclusions emerge. First, global factors account for a small fraction of the time variation in expected returns in most markets, and global predictability has declined over time. Second, the emerging markets exhibit differing degrees of market integration with the US market, and the differences are not necessarily associated with direct barriers to investment. Third, the most important de facto barriers to global equity-market integration are poor credit ratings, high and variable inflation, exchange rate controls, the lack of a high-quality regulatory and accounting framework, the lack of sufficient country funds or cross-listed securities, and the limited size of some stock markets.

654 citations

ReportDOI
TL;DR: In this article, the authors investigate pricing to market when the exchange rate changes in cases where firms' future demands depend on their current market shares and show that profit maximizing foreign firms may either raise or lower their domestic currency export prices when the domestic exchange rate appreciates temporarily.
Abstract: We investigate pricing to market when the exchange rate changes in cases where firms' future demands depend on their current market shares. We show that i) profit maximizing foreign firms may either raise or lower their domestic currency export prices when the domestic exchange rate appreciates temporarily (i.e. the "pass-through" from exchange rate changes to import prices may be perverse); ii) current import prices may be more sensitive to the expected future exchange rate than to the current exchange rate; iii) current import prices fall in response to an increase in uncertainty about the future exchange rate. We present evidence that suggests the behavior of expected future exchange rates may provide a clue to the puzzling behavior of U.S. import prices during the 1980s.

620 citations

Journal ArticleDOI
TL;DR: In this paper, the daily and weekly seasonality of foreign exchange volatility is modelled by introducing an activity variable, which is explained by a simple model of the changing and sometimes overlapping market presence of geographical components (East Asia, Europe, and America).

620 citations


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Performance
Metrics
No. of papers in the topic in previous years
YearPapers
2023158
2022202
2021157
2020171
2019209
2018198