This study attempts to model the pricing decision of a Tunisian FX dealer for the Dollar (USD/TND) and the Euro (EUR/TND) based on the daily exchange rates. Using GMM estimation, we find evidence to support for the information and inventory effects for the USD/TND, but not for the EUR/TND. For...

We conduct an extensive examination of profitability of technical analysis in ten emerging foreign exchange markets. Studying 25988 trading strategies for emerging foreign exchange markets, we find that best rules can sometimes generate an annually mean excess return of more than 30%. Based on...

Using four years of second-by-second executed trade data, we study the intraday effects of a representative group of scheduled economic releases on three exchange rates: EUR/$, JPY/$ and GBP/$. Using wavelets to analyze volatility behavior, we empirically show that intraday volatility clusters...

Purpose–The purpose of this study is to discover and model the asymmetry in the price volatility of financial markets, in particular the foreign exchange markets as the first underlying applications. Design/methodology/approach–The volatility of the financial market price is usually defined...

I study whether evolution in the number of Google Internet searches for particular keywords can predict volatility in the market for foreign currency. I find that data on Google searches for the keywords economic crisis+financial crisis and recession has incremental predictive power beyond the...

This paper examines the price discovery process in currency markets, basing its analysis on the pivotal distinction between the customer (end-user) market and the interdealer market. It first provides evidence that the price discovery process cannot be based on adverse selection between dealers...

As a result of the early repayment programme launched in the autumn of 2011, buying demand for several billions of euros arose on the side of domestic banks. The purchase of such amounts in the foreign exchange market would have alone contributed to a substantial weakening of the forint;...

This paper uses a microstructure approach to analyze the effectiveness of capital controls introduced in Brazil to counter an appreciation of the Real. Based on a rich data set from the Brazilian foreign exchange market, we estimate a reduced-form VAR to characterize the interaction of the...

Using count-data techniques, this paper studies the determinants of currency choice in the issuance of foreign-currency-denominated bonds. In particular, we investigate whether bond issuers choose their issuance currency in order to exploit the borrowing-cost savings associated with deviations...

We study the relationship between foreign exchange trading activity and volatility on the USD/EUR foreign exchange market on the basis of a unique data set around the events of 09/11/2001. We find that volatility and bid-ask spreads are by far larger at that time, but the shock is not...