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Do speculative traders anticipate or follow USD/EUR exchange rate movements? : new evidence on the efficiency of the EUR currency futures market
Hossfeld, Oliver; Röthig, Andreas - 2015
between large and small traders, and an upper bound of total speculation. To account for the large number of testable …
Persistent link: https://www.econbiz.de/10011391722
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Macro News Effects on Exchange Rates : Difference between Carry Trade Target and Safe-haven Currencies
Wang, Wenhao; Lin, Zhitao; Hu, Bing - 2023
We compare the effects of the US macro news on the exchange rates of carry trade target currencies and safe-haven currencies in the post-GFC period. Relying on the data of 5-min changes of exchange rates, we find significant responses of currencies to the surprises of the US macro news. The...
Persistent link: https://www.econbiz.de/10014258569
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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 and unscheduled economic and geopolitical news events. We develop a cross-over strategy in the FX market based on short to long-term news sentiment inflection points covering the...
Persistent link: https://www.econbiz.de/10013081446
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Australian Dollar Carry Trades : Time Varying Probabilities and Their Determinants
Kim, Suk-Joong - 2017
This paper investigates the nature and the determinants of the Australian Dollar (AUD) carry trades using a Markov regime shifting model over the period 2 Jan 1999 to 31 Dec 2012. We find that the AUD could have been used, except for a number of short periods notably surrounding the outbreak of...
Persistent link: https://www.econbiz.de/10012972709
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Speculation in the Foreign Exchange : Noise or Information?
Hayward, Rob - 2015
An event study is used to assess the views of Keynes and Friedman on speculation. Speculative extremes are ranked by … little about the future in either case, suggesting that speculation is more than just random noise and supporting the view …
Persistent link: https://www.econbiz.de/10013019272
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Financial intermediaries and speculation in the foreign exchange market : the role of monetary policy in Iran's economy
Sadeghi, Abdorasoul; Marzban, Hussein; Samadi, Ali Hussein - In: Journal of economic structures : JES; the official … 11 (2022), pp. 1-26
developing economy, like Iran, through the channel of the relationship between bank deposits, stock market, and speculation in … low banks deposits regimes. Both FIs have negatively impacted speculation in the FEM in high and low exchange rates … very high inflation regimes. In comparison, the impact of speculation in the FEM has been negative on investment and …
Persistent link: https://www.econbiz.de/10013459442
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Foreign exchange markets, behavior of options volatility and bid-ask spread around macroeconomic announcements
Ishfaq, Muhammad; Muhammad Usman Arshad; Durrani, … - In: Cogent economics & finance 10 (2022) 1, pp. 1-28
The purpose of this study is to examine the role of options volatility and bid-ask spread as microstructural variables in determining whether the foreign exchange market’s price formation process in response to macroeconomic announcements is characterised by changes in risk perception and...
Persistent link: https://www.econbiz.de/10013431442
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Time variation in asset price response to macro announcements
Goldberg, Linda S.; Grisse, Christian - 2013
Although the effects of economic news announcements on asset prices are well established, theserelationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high-frequency data from January 2000 through August 2011....
Persistent link: https://www.econbiz.de/10009787494
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Time Variation in Asset Price Responses to Macro Announcements
Goldberg, Linda S. - 2013
Although the effects of economic news announcements on asset prices are well established, these relationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high-frequency data from January 2000 through August 2011....
Persistent link: https://www.econbiz.de/10013076594
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The exchange rate effect of multi-currency risk arbitrage
Hau, Harald - In: Journal of international money and finance 47 (2014), pp. 304-331
Persistent link: https://www.econbiz.de/10010464012