This paper makes three contributions to our understanding of the price discovery process in currency markets. First, it provides evidence that this process cannot be the familiar one based on adverse selection and customer spreads, since such spreads are inversely related to a trade?s likely...

This research enters new ground by presenting comparative survey evidence on asset managers' views and behavior in the United States, Germany, Japan and Thailand. Relying on Hofstede's four cultural dimensions, we find that cultural differences are most helpful in understanding country...

The high-frequency analysis of foreign exchange dynamics is helpful in order to better identify the impact of central bank interventions. Evidence robustly shows that interventions do indeed move the exchange rate level in the desired direction. Interventions increase volatility in the short run...

This research enters new ground by presenting comparative survey evidence on assetmanagers' views and behavior in the United States, Germany, Japan and Thailand.Relying on Hofstede's four cultural dimensions, we find that cultural differencesare most helpful in understanding country differences...

This paper makes three contributions to our understanding of the price discovery process in currencymarkets. First, it provides evidence that this process cannot be the familiar one based on adverse selectionand customer spreads, since such spreads are inversely related to a trade’s likely...

WTI and Brent futures are tested for the presence of psychological barriers around $10 price levels applying a multiple hypothesis testing approach for robustness. Psychological barriers are present in Brent pricing but not in WTI pricing, which is argued, based on recent behavioural finance...

WTI and Brent futures are tested for the presence of psychological barriers around $10 price levels applying a multiple hypothesis testing approach for robustness. Psychological barriers are present in Brent pricing but not in WTI pricing, which is argued, based on recent behavioural finance...

We investigate which of the two main centers of gold trading — the London spot market and the New York futures market — plays a more important role in setting the price of gold. Using intraday data during a 17-year period we find that although both markets contribute to price discovery, the...

We offer the first examination of whether the gold forward rate is an unbiased predictor of the future gold spot rate. We find strong evidence that it is not, particularly at longer maturities. Building on Aggarwal and Zong's (2008) approach to allow for investor risk aversion, we then examine...

An important puzzle in international finance is the failure of the forward exchange rate to be a rational forecast of the future spot rate. It has often been suggested that this puzzle may be resolved by using better statistical procedures that correct for both non-stationarity and nonnormality...