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Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market
Frömmel, Michael; Kiss M., Norbert; Pintér, Klára - 2009
We investigate the relation between the EUR/HUF exchange rate on the one hand and news announcements and order flow on the other hand using intraday data. We extend the existing literature on foreign exchange market microstructure by considering a small open transition economy. We find that the...
Persistent link: https://www.econbiz.de/10003884519
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On the inherent instability of international financial markets : natural nonlinear interactions between stock and foreign exchange markets
Dieci, Roberto; Westerhoff, Frank H. - 2011
We develop a novel financial market model in which the stock markets of two countries are linked via and with the foreign exchange market. To be precise, there are domestic and foreign speculators in each of the two stock markets which rely either on linear technical or linear fundamental...
Persistent link: https://www.econbiz.de/10009007640
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Country News Sentiment Factors Predict Forex Prices
Hafez, Peter - 2013
In this study, we test a set of country macro sentiment indexes that measure the trailing sentiment on both scheduled … long-term news sentiment inflection points covering the seven major currency pairs. The sentiment indexes are proven to …
Persistent link: https://www.econbiz.de/10013081446
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News and Intraday Retail Investor Order Flow in Foreign Exchange Markets
Kaourma, Filia; Milidonis, Andreas; Nishiotis, George; … - 2021
shows that the lagged overall news sentiment also significantly affects investor net order flow. Finally, we show that … suggest that retail investors in currency markets follow the news and are influenced by news sentiment and past returns, but …
Persistent link: https://www.econbiz.de/10013243514
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The profitability of technical analysis : evidence from the piercing line and dark cloud cover patterns in the forex market
Alanazi, Ahmed S.; Alanazi, Ammar S. - In: Cogent economics & finance 8 (2020) 1, pp. 1-21
We examine 112,792 daily candles using more than one million spot quotes among 24 currency pairs between 2000 and 2018. We find that chart patterns are profitable. Relying on these visually based patterns achieves returns of more than 600% after accounting for the transaction costs....
Persistent link: https://www.econbiz.de/10012440320
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Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market
Frömmel, Michael; Kiss M., Norbert; Pintér, Klára - 2009
We investigate the relation between the EUR/HUF exchange rate on the one hand and news announcements and order flow on the other hand using intraday data. We extend the existing literature on foreign exchange market microstructure by considering a small open transition economy. We find that the...
Persistent link: https://www.econbiz.de/10010322449
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Investor sentiment in the US-dollar: longer-term, nonlinear orientation on PPP
Menkhoff, Lukas; Rebitzky, Rafael R. - 2007
irrational exchange rate expectations? We look at this puzzle from a different perspective by analyzing investor sentiment in the … US-dollar market. First, long-horizon regressions show that investor sentiment is connected with exchange rate returns at … longer horizons, i.e. more than two years. Second, sentiment is cointegrated with fundamentals, whereas third, this relation …
Persistent link: https://www.econbiz.de/10010264930
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Investor sentiment in the US-dollar : longer-term, nonlinear orientation on PPP
Menkhoff, Lukas (contributor);  … - 2007
irrational exchange rate expectations? We look at this puzzle from a different perspective by analyzing investor sentiment in the … US-dollar market. First, long-horizon regressions show that investor sentiment is connected with exchange rate returns at … longer horizons, i.e. more than two years. Second, sentiment is cointegrated with fundamentals, whereas third, this relation …
Persistent link: https://www.econbiz.de/10003575469
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Aggregate Trading Behaviour of Technical Models and the Yen/Dollar Exchange Rate 1976-2007
Schulmeister, Stephan - 2010
The study analyses the interaction between the trading behaviour of 1,024 moving average and momentum models and the fluctuations of the yen-dollar exchange rate. I show first that these models would have exploited exchange rate trends quite profitably between 1976 and 2007. I then show that the...
Persistent link: https://www.econbiz.de/10013135725
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Behavioral Biases in Forward Rates as Forecasts of Future Exchange Rates : Evidence of Systematic Pessimism and Under-Reaction
Aggarwal, Raj - 2016
Even though the forward-spot relationship in currency markets is very important for policy makers and for corporate and investment managers, it remains a theoretical and empirical puzzle. In theory the forward rate should be an unbiased forecast of the future spot rate, but this hypothesis has...
Persistent link: https://www.econbiz.de/10013004445