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Characterizing Asymmetric Information in International Equity Markets
Albuquerque, Rui; Bauer, Gregory; Schneider, Martin - EconWPA - 2004
This paper studies the international portfolio flows of US investors to examine the information structure of international equity markets. We use an empirical model of portfolio flows with both public and private information to extract measures of trades due to private information. We find that...
Persistent link: https://www.econbiz.de/10005125533
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Return-volatility linkages in the international equity and currency markets
Francis, Bill B.; Hasan, Iftekhar; Hunter, Delroy M. - EconWPA - 2004
This paper, which is motivated by the literature on international asset pricing and recent work on exchange rate determination, investigates dynamic relationshiops between major currency and equity markets. Using a multivariate GARCH framework, we examine conditional cross- autocorrelations...
Persistent link: https://www.econbiz.de/10005413091
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Nonparametric Testing of the High-Frequency Efficiency of the 1997 Asian Foreign Exchange Markets
LOS, CORNELIS A. - EconWPA - 2004
For the first time, non-parametric statistical tests, originally developed by Sherry (1992) to test the efficiency of information processing in nervous systems, are used to ascertain if the Asian FX rates followed random walks. The stationarity and serial independence of the price changes are...
Persistent link: https://www.econbiz.de/10005413228
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The Interaction between Technical Currency Trading and Exchange Rate Fluctuations
Schulmeister, Stephan - EconWPA - 2005
This paper examines the mutually reinforcing interactions between exchange rate dynamics and technical trading strategies. I first show that technical trading systems have been quite profitable during the floating rate period. This profitability stems from the successful exploitation of...
Persistent link: https://www.econbiz.de/10005561584
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Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997
LOS, CORNELIS A.; KARUPPIAH, JEYANTHI - EconWPA - 2004
FX pricing processes are nonstationary and their frequency characteristics are time-dependent. Most do not conform to geometric Brownian motion, since they exhibit a scaling law with a Hurst exponent between zero and 0.5 and fractal dimensions between 1.5 and 2. This paper uses wavelet...
Persistent link: https://www.econbiz.de/10005561603
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Persistence Characteristics of Latin American Financial Markets
KYAW, NYO NYO A.; LOS, CORNELIS A.; ZONG, SIJING - EconWPA - 2004
Static time series models usually assume stationarity, normality, and independence for the increments of financial rates of return. This paper investigates the empirical characteristics of financial rates of return from Latin American stock and currency markets and documents that their empirical...
Persistent link: https://www.econbiz.de/10005561684
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Currency preferences and the Australian dollar
Kingston, Geoffrey; Melecky, Martin - EconWPA - 2005
We investigate the theory and empirics of currency substitution and currency complementarity. Analytical tractability … Australian dollar’s substitution for the mark and complementarity with the yen, consistent with our theory that international … variables will in general affect the demand for domestic money. Our theory also predicts third-currency effects, and the data …
Persistent link: https://www.econbiz.de/10005125493
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Third-Currency Effects in a Tri-Polar Model of Foreign Exchange
Melecky, Martin - EconWPA - 2005
This paper investigates possible contribution of third-currency effects to exchange rate movements. It reopens the subject of currency substitution and examines whether the third-currency effects change when the third-currency is a complement as opposed to when it is a substitute for currencies...
Persistent link: https://www.econbiz.de/10005125518
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Monetary Policy Shocks in a Tri-Polar Model of Foreign Exchange
Melecky, Martin - EconWPA - 2005
This paper investigates effects of third-currency monetary policy shocks on exchange rates. For this purpose we setup a structural VAR model containing the exchange rates of the three major currencies – the U.S. dollar, the euro and the Japanese yen – and short-term interest rates on the...
Persistent link: https://www.econbiz.de/10005125529
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The monetary approach to exchange rates in the CEECs
Crespo-Cuaresma, Jesús; Fidrmuc, Jarko; McDonald, Ronald - EconWPA - 2004
A panel data set for six Central and Eastern European countries (the Czech Republic, Hungary, Poland, Romania, Slovakia and Slovenia) is used to estimate the monetary exchange rate model with panel cointegration methods, including the Pooled Mean Group estimator, the Fully Modified Least Square...
Persistent link: https://www.econbiz.de/10005561077