If transitory profitable trading opportunities exist, filter rules are used in practice to mitigate transaction costs. The filter size is difficult to determine a priori. Our paper uses a dynamic programming framework to design a filter that is optimal in the sense of maximizing expected returns...

This paper examines the relationship of stock return patterns on the Bombay Stock Exchange (BSE) with those of the New York Stock Exchange (NYSE). It also examines investment opportunities for international investors. The data include daily closing values of the BSE and SSP 500 Indexes for the...

The unbiasedness hypothesis - the joint hypothesis of uncovered interest parity (UIP) and rational expectations - has been almost universally rejected in studies of exchange rate movements. In contrast to previous studies, which have used short-horizon data, we test this hypothesis using...

In many studies the assumption is made that traders only encounter one type of price risk. In reality, however, traders are exposed to multiple price risks, and often have several relevant derivative instruments available with which to hedge price uncertainty. In this study, commodity, foreign...

In many studies the assumption is made that traders only encounter one type of price risk. In reality, however, traders are exposed to multiple price risks, and often have several relevant derivative instruments available with which to hedge price uncertainty. In this study, commodity, foreign...

This event study investigates the impact of sovereign credit ratings action onthe foreign exchange rate in South Africa. The study uses the mean adjustedreturn model to establish the impact sovereign credit rating announcements bythree rating agencies on the South African Rand against the...

This study sets out to identify the criteria that multi-banked corporate customersoperating in South Africa use to decide which bank to allocate each foreignexchange deal to.The foreign exchange market is highly competitive, in order to retain and growmarket share the banks operating in this...

Capital is needed by a bank to operate their goals to get the profit. The consequence is that the bank must using it efficiently to allocate the lower cost of fund.High interest rates and foreign exchange which can depreciated greatly causing banking get a negative spread condition, where the...

Typescript (photocopy).

Typescript (photocopy).