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Interdependence between foreign exchange markets and stock markets in selected European countries
Islami, Mevlud - 2008
In this analysis the interdependence between foreign exchange markets and stock markets for selected accession and cohesion countries is discussed. This includes basic theoretical approaches. Monthly data for the nominal stock market indices and nominal exchange rates are used, where Ireland,...
Persistent link: https://www.econbiz.de/10010291121
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Customer order flow, information and liquidity on the Hungarian foreign exchange market
Gereben, Áron; Gyomai, György; Kiss M., Nobert - 2006
Customer order flow - signed transaction volume between market makers and their customers - is a key concept in the microstructure approach to exchange rates. We attempt to explore what the data tells us about the role of customer order flow in the market for Hungarian forint, using the standard...
Persistent link: https://www.econbiz.de/10010322425
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Is exchange rate - customer order flow relationship linear? Evidence from the Hungarian FX market
Lovcha, Yuliya; Perez-Laborda, Alejandro - 2010
Over the last decade, the microstructure approach to exchange rates has become very popular. The underlying idea of this approach is that the order flows at different levels of aggregation contain valuable information to explain exchange rate movements. The bulk of empirical literature has...
Persistent link: https://www.econbiz.de/10010322440
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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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Timing foreign exchange markets
Malone, Samuel W.; Gramacy, Robert B.; Horst, Enrique ter - In: Econometrics : open access journal 4 (2016) 1, pp. 1-23
To improve short-horizon exchange rate forecasts, we employ foreign exchange market risk factors as fundamentals, and … exchange rates. Forecasts from the BTGP model conditional on the carry and dollar factors dominate random walk forecasts on … ante BTGP forecasts deliver the highest out-of-sample risk-adjusted returns for the median currency, as well as for both …
Persistent link: https://www.econbiz.de/10011505885
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Fast trading and the virtue of entropy : evidence from the foreign exchange market
Corsetti, Giancarlo; Lafarguette, Romain; Mehl, Arnaud - 2019
Focusing on the foreign exchange reaction to macroeconomic announcements, we show that fast trading is positively and significantly correlated with the entropy of the distribution of quoted prices in reaction to news: a larger share of fast trading increases the degree of diversity of quotes in...
Persistent link: https://www.econbiz.de/10012037341
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Total, asymmetric and frequency connectedness between oil and forex markets
Baruník, Jozef; Kočenda, Evžen - 2019
We analyze total, asymmetric and frequency connectedness between oil and forex markets using high-frequency, intra-day data over the period 2007 - 2017. By employing variance decompositions and their spectral representation in combination with realized semivariances to account for asymmetric and...
Persistent link: https://www.econbiz.de/10012035050
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Intraday effect of news on emerging European forex markets : an event study analysis
Kočenda, Evžen; Moravcova, Michala - 2016
We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an Event Study Methodology to analyze intra-day data from 2011-2015. Our...
Persistent link: https://www.econbiz.de/10011568576
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Zur Qualität professioneller Wechselkursprognosen : sind professionelle Wechselkursprognosen eine sinnvolle Entscheidungshilfe für Unternehmen und Investoren?/ Robert Schmidt
Schmidt, Robert - 2003
Die Berücksichtigung der zukünftigen Entwicklung des Wechselkurses ist sowohl für internationale Unternehmen als auch für international tätige Investoren unabdingbar. Allerdings ist die Erstellung von Wechsel- kursprognosen schwierig, da bis zum heutigen Zeitpunkt kein allgemein anerkanntes...
Persistent link: https://www.econbiz.de/10010498979
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Retaining alpha : the effect of trade size and rebalancing frequency on FX strategy returns
Melvin, Michael; Pan, Wenqiang; Wikstrom, Petra - 2020
size and frequency to create realistic forecasts of post-tcost returns to gauge the capacity of a strategy. We show how …
Persistent link: https://www.econbiz.de/10012174753