scispace - formally typeset
Search or ask a question
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.


Papers
More filters
Journal ArticleDOI
TL;DR: This paper examined the relation between futures trading activity by trader type and returns over short horizons in five foreign currency futures markets and found that speculator sentiment is positively related to future returns in contrast, hedger sentiment covaries negatively with future returns.
Abstract: In this paper, we examine the relation between futures trading activity by trader type and returns over short horizons in five foreign currency futures markets – British pound, Canadian dollar, Deutsche mark, Japanese yen, and Swiss franc Transforming trading activity into a sentiment measure, we find that speculator sentiment is positively related to future returns In contrast, hedger sentiment covaries negatively with future returns We also find that extreme sentiment by trader type is more correlated with future market movements than moderate sentiment Our results suggest that hedgers lose to speculators in these futures markets, on average Based on equilibrium pricing models that futures risk premiums are determined by both market risk and hedging pressure, we show that the profits to speculators are in general compensation for bearing risk

77 citations

Journal ArticleDOI
TL;DR: In this article, the abandonment of a fixed exchange rate regime is triggered by an optimising policymaker who wants to loosen monetary policy and boost aggregate demand, and a rational expectations equilibrium exists where the fixed rate is abandoned in response to adverse demand shocks.

77 citations

Journal ArticleDOI
TL;DR: In this paper, the authors analyzed the response of external balance indicators to anticipated devaluation in a model incorporating the movement of black market exchange rates under rational expectations, and extended the analysis to the case of ‘devaluation cycles.

77 citations

Journal ArticleDOI
TL;DR: In this paper, the impact of market activity and news on the volatility of returns in the exchange market for Japanese Yen and US dollars was examined using three categories of news, and the effects of news on volatility before, during and after news arrival were examined.
Abstract: This paper estimates the impact of market activity and news on the volatility of returns in the exchange market for Japanese Yen and US dollars. We examine the effects of news on volatility before, during and after news arrival, using three categories of news. Market activity is proxied by quote arrival, separated into a predictable seasonal component and an unexpected component. Results indicate that both components of market activity, as well as news releases, affect volatility levels. We conclude that both private information and news effects are important determinants of exchange rate volatility. Our finding that unexpected quote arrival positively impacts foreign exchange rate volatility is consistent with the interpretation that unexpected quote arrival serves as a measure of informed trading. Corroborating this interpretation is regression analysis, which indicates that spreads increase in the surprise component of the quote arrival rate, but not in the expected component. The estimated impact of a unit increase in unexpected quote arrival and the range of values observed for this variable imply an important volatility conditioning role for informed trading.

76 citations

Journal ArticleDOI
TL;DR: In this paper, the authors introduce a new high-frequency foreign exchange dataset from EBS (Electronic Broking Service) that includes trading volume in the global interdealer spot market, data not previously available to researchers.
Abstract: We introduce a new high-frequency foreign exchange dataset from EBS (Electronic Broking Service) that includes trading volume in the global interdealer spot market, data not previously available to researchers. The data also gives live transactable quotes, rather than the indicative quotes that have been used in most previous high frequency foreign exchange analysis. We describe intraday volume and volatility patterns in euro-dollar and dollar-yen trading. We study the effects of scheduled U.S.macroeconomic data releases, first confirming the finding of recent literature that the conditional mean of the exchange rate responds very quickly to the unexpected component of data releases. We next study the effects of data releases on trading volumes. News releases cause volume to rise, and to remain elevated for a longer period. However, in contrast to the result for the level of the exchange rate, even if the data release is entirely in line with expectations, we find that there is still typically a large pickup in trading volume.

76 citations


Network Information
Related Topics (5)
Exchange rate
47.2K papers, 944.5K citations
93% related
Financial market
35.5K papers, 818.1K citations
92% related
Market liquidity
37.7K papers, 934.8K citations
92% related
Stock market
44K papers, 1M citations
92% related
Volatility (finance)
38.2K papers, 979.1K citations
91% related
Performance
Metrics
No. of papers in the topic in previous years
YearPapers
2023158
2022202
2021157
2020171
2019209
2018198