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Information Processing of Foreign Exchange News : Extending the Overshooting Model to Include Qualitative Information from News Sentiment

Feuerriegel, Stefan; Wolff, Georg; Neumann, Dirk - 2015

In a globalized world, the volume of international trade is based on both import and export prices, thereby making a country's economy highly dependent on exchange rates. In order to study exchange rate movements, one frequently exploits the so-called Dornbusch overshooting model. However, the...

Persistent link: https://www.econbiz.de/10014135868

Dynamic Relations between International Equity and Currency Markets : The Role of Currency Order Flow

Francis, Bill B.; Hunter, Delroy M.; Hasan, Iftekhar - 2004

trivariate asymmetric GARCH framework, we find that the relationships between equity and currency markets are significant, bi …

Persistent link: https://www.econbiz.de/10014069928

Macroeconomic News Announcements and Order Flow Effects on Foreign Exchange Rates : A Review of Theoretical Literature

Jabeen, Munazza - 2022

This paper presents the review of theoretical literature on the effects of macroeconomic news announcements and order flow on exchange rates. It presents how foreign exchange market reacts to macroeconomic news announcements? How information (both public and private) is incorporated into...

Persistent link: https://www.econbiz.de/10013307365

The currency that came in from the cold : Capital controls and the information content of order flow

Breedon, Francis; Pétursson, Thórarinn G.; Vitale, Paolo - 2021

We analyse how capital controls affect FX microstructure, using as a case study the introduction and subsequent removal of controls in Iceland. We use a VAR of private order flow, Central Bank order flow and EURISK that allows for contemporaneous feedback effects to analyse the impact and...

Persistent link: https://www.econbiz.de/10014359275

Cross listing: price discovery dynamics and exchange rate effects

Scherrer, Cristina M. - School of Economics and Management, University of Aarhus - 2014

The paper investigates the dynamics of price discovery for cross-listed firms and the impact of exchange rate shocks on firm value. A simple price discovery model is proposed in which prices in the home and foreign markets react to shocks on two latent prices, namely, the efficient firm value...

Persistent link: https://www.econbiz.de/10011098648

Cointegration in the Foreign Exchange Market and Market Efficiency since the Introduction of the Euro: Evidence based on bivariate Cointegration Analyses

Kühl, Michael - Center for Globalization and Europeanization of the … - 2007

The aim of this paper is to investigate the market efficiency on the foreign exchange market since the introduction of the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure of the global foreign exchange market to the extent...

Persistent link: https://www.econbiz.de/10005635356

Cointegration in the foreign exchange market and market efficiency since the introduction of the Euro: Evidence based on bivariate cointegration analyses

Kühl, Michael - Center for European, Governance and Economic … - 2007

Persistent link: https://www.econbiz.de/10010980784

Review on efficiency and anomalies in stock markets

Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies 8 (2020) 1, pp. 1-51

The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been … EMH, some academics have questioned whether EMH is valid, and pointed out that the financial literature has substantial … clearly define the concept of market efficiency and the EMH. We discuss some efforts that challenge the EMH. We review …

Persistent link: https://www.econbiz.de/10013199649

Testing Market Efficiency in a Fixed Odds Betting Market

Jakobsson, Robin; Karlsson, Niklas - 2007

This paper tests the hypothesis of market efficiency for the fixed odds betting market of Swedish trotting head-to-head matches. The hypothesis is carried out by a Wald test within a logistic regression model. Data support rejection of semi-strong efficiency at the 5 percent level of...

Persistent link: https://www.econbiz.de/10012654330

Investment strategies that beat the market: What can we squeeze from the market?

Ślepaczuk, Robert; Sakowski, Paweł; Zakrzewski, Grzegorz - In: e-Finanse: Financial Internet Quarterly 14 (2018) 4, pp. 36-55

The paper presents a new approach to optimizing automatic transactional systems. We propose a multi-stage technique which enables us to find investment strategies beating the market. Additionally, new measures of combined risk and returns are applied in the process of optimization. Moreover, we...

Persistent link: https://www.econbiz.de/10013466200