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Short-term speculators and the origins of near-random walk exchange rate behavior

Osler, Carol - 1992

Persistent link: https://www.econbiz.de/10000854285

Schwarz, Krista - 2011

The positions of hedgers and speculators are correlated with returns in a number of futures markets, but there is much debate as to the interpretation of such a relationship – whether it reflects private information, liquidity, or trend-chasing behavior. This paper studies the relationship...

Persistent link: https://www.econbiz.de/10013132322

Speculate Against Speculative Demand

Ap Gwilym, Owain - 2013

We construct a measure of individual investors' speculative demand for stocks from their online queries on penny stocks provided by Google Search volume index (hereafter "SVI"). We examine how it affects the return dynamics of U.S. stock indices. We find that the speculative demand leads to a...

Persistent link: https://www.econbiz.de/10013087466

Models of Speculative Attacks and Crashes in International Capital Markets

Marini, Giancarlo - 2014

Currency and financial turmoils in international capital markets have been the focus of an extensive theoretical research which started around 30 years ago. This paper provides a synthetic overview of this theoretical modeling. We analyze the basic analytical framework corresponding to the...

Persistent link: https://www.econbiz.de/10013065790

Protecting Pegged Currency Markets from Speculative Investors

Neuman, Eyal - 2020

We consider a stochastic game between a trader and a central bank in a target zone market with a lower currency peg. This currency peg is maintained by the central bank through the generation of permanent price impact, thereby aggregating an ever increasing risky position in foreign reserves. We...

Persistent link: https://www.econbiz.de/10012838399

Speculation and Lottery-Like Demand in Cryptocurrency Markets

Grobys, Klaus - 2020

This is the first paper that explores lottery-like demand in cryptocurrency markets. Since recent research provides evidence that cryptocurrency returns are rather short-memory processes in their nature, we modify Bali et al.'s (2011, 2017) MAX measure and employ a weekly forecast horizon and...

Persistent link: https://www.econbiz.de/10012839840

Speculative Pressure

Fan, John Hua - 2019

The paper investigates the information content of speculative pressure across futures classes. Long-short portfolios of futures contracts sorted by speculative pressure capture a significant premium in commodity, currency and equity markets but not in fixed income markets. Exposure to commodity,...

Persistent link: https://www.econbiz.de/10012897551

Does Government Insolvency Imply Speculative Attacks?

Miceli, Maria-Augusta - 2016

The aim is to show how and when government insolvency implies a fixed exchange rate regime crisis. To model these issues I try to unify a stylized macroeconomic model with a standard micro agent behavior toward asset pricing. The equilibrium condition between demand and supply of public debt,...

Persistent link: https://www.econbiz.de/10013007557

Speculation Sentiment

Davies, Shaun - 2020

-like demand, that is, speculation sentiment. The leveraged ETFs' primary market is a novel setting that provides observable … proxies for the magnitude and direction of speculative demand shocks and I use it to form the Speculation Sentiment Index …. Using the index, I show that speculation sentiment is contrarian; For example, it is bullish in down markets. I also find …

Persistent link: https://www.econbiz.de/10012853530

Speculative Attacks and Investor Attention

Piccoli, Pedro - 2019

This paper presents the first evidence that retail investors play a central role in a speculative attack. Investigating the attacks that affected several emerging economies in the second semester of 2018, I document a strong influence of investor attention on the price and risk of the currency...

Persistent link: https://www.econbiz.de/10012857842

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