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Can cross-country portfolio rebalancing give rise to forward bias in FX markets?
Chang, Sanders S. - In: Journal of International Money and Finance 32 (2013) C, pp. 1079-1096
This paper develops a model of exchange rate dynamics that takes into account positions in foreign and domestic equities in addition to “standard” short-term riskless securities. The modeling of cross-country stock holdings is motivated by evidence that a large and ever-increasing proportion...
Persistent link: https://www.econbiz.de/10011048530
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The market microstructure approach to foreign exchange: Looking back and looking forward
King, Michael R.; Osler, Carol L.; Rime, Dagfinn - In: Journal of International Money and Finance 38 (2013) C, pp. 95-119
Research on foreign exchange market microstructure stresses the importance of order flow, heterogeneity among agents, and private information as crucial determinants of short-run exchange rate dynamics. Microstructure researchers have produced empirically-driven models that fit the data...
Persistent link: https://www.econbiz.de/10010719330
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Drivers of structural change in cross-border banking since the global financial crisis
Bremus, Franziska; Fratzscher, Marcel - In: Journal of International Money and Finance 52 (2015) C, pp. 32-59
importance of regulatory arbitrage as a driver of cross-border bank flows since the global financial crisis. However, in the euro … area, arbitrage in capital stringency was linked to lower cross-border lending since the crisis. …
Persistent link: https://www.econbiz.de/10011208918
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The exchange rate effect of multi-currency risk arbitrage
Hau, Harald - In: Journal of International Money and Finance 47 (2014) C, pp. 304-331
Carry trade arbitrage strategies typically involve multiple currencies. Limits to arbitrage in such a setting not only … exchange rate in accordance with the marginal risk contribution of each speculative position to the overall arbitrage risk. The … paper uses a natural experiment to identify a particular global arbitrage opportunity and shows that arbitrage risk hedging …
Persistent link: https://www.econbiz.de/10010906598
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Worth the hype? The effect of G20 summits on global financial markets
Lo Duca, Marco; Stracca, Livio - In: Journal of International Money and Finance 53 (2015) C, pp. 192-217
In the wake of the global financial crisis, the G20 has become the most important forum of global governance and cooperation, largely replacing the once powerful G7. Against this background, this paper looks at G20 meetings at Ministerial and Leaders level to see whether they had an impact on...
Persistent link: https://www.econbiz.de/10011263947
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Size, value, and momentum in developed country equity returns: Macroeconomic and liquidity exposures
Cakici, Nusret; Tan, Sinan - In: Journal of International Money and Finance 44 (2014) C, pp. 179-209
The paper investigates value and momentum factors in 23 developed international stock markets. We find that typically value and momentum premia are smaller and more negatively correlated for large market capitalization stocks relative to small. Momentum factors are more highly correlated...
Persistent link: https://www.econbiz.de/10010836985
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Contagion during the Greek sovereign debt crisis
Mink, Mark; de Haan, Jakob - In: Journal of International Money and Finance 34 (2013) C, pp. 102-113
We examine the impact of news about Greece and news about a Greek bailout on bank stock prices in 2010 using data for 48 European banks. We identify the twenty days with extreme returns on Greek sovereign bonds and categorise the news events during those days into news about Greece and news...
Persistent link: https://www.econbiz.de/10010869453
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How smooth is price discovery? Evidence from cross-listed stock trading
Chen, Haiqiang; Choi, Paul Moon Sub; Hong, Yongmiao - In: Journal of International Money and Finance 32 (2013) C, pp. 668-699
exceeds the threshold (required arbitrage return). Fourth, informed traders tend to cluster on the NYSE upon discounts on the …
Persistent link: https://www.econbiz.de/10010594705
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Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates
Charles, Amélie; Darné, Olivier; Kim, Jae H. - In: Journal of International Money and Finance 31 (2012) 6, pp. 1607-1626
This study examines return predictability of major foreign exchange rates by testing for martingale difference hypothesis (MDH) using daily and weekly nominal exchange rates from 1975 to 2009. We use three alternative tests for the MDH, which include the wild bootstrap automatic variance ratio...
Persistent link: https://www.econbiz.de/10010599339
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Foreign exchange market efficiency under recent crises: Asia-Pacific focus
Ahmad, Rubi; Rhee, S. Ghon; Wong, Yuen Meng - In: Journal of International Money and Finance 31 (2012) 6, pp. 1574-1592
The Asia-Pacific region’s currency markets are generally efficient within-country when tested using the Johansen (1991, 1995) cointegration technique whereas market efficiency fails to hold when tested using Fama’s (1984) conventional regression. Using the Pilbeam and Olmo (2011) model, we...
Persistent link: https://www.econbiz.de/10010599341