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Day-Of-The-Week Effect on Romanian Foreign Exchange Market during Quiet and Turbulent Times
Stefanescu, Razvan; Dumitriu, Ramona - 2022
Some calendar anomalies could have different characteristics during quiet and turbulent times. This paper approaches the behavior of day-of-the-week (DOW) effect on the Romanian foreign exchange market for three periods: January 2010 - December 2014, January 2015 - December 2019 and January 2020...
Persistent link: https://www.econbiz.de/10014237762
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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
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Day-of-the-week anomaly : an illusion or a reality? ; evidence from Naira/Dollar exchange rates
Osabuohien-Irabor, Osarumwense - In: CBN journal of applied statistics 7 (2016) 1, pp. 311-332
), its volatility as well as the asymmetric effects, for the period of 12th May 2009 to 12th June, 2015. The empirical …-of-theweek effect is influenced by the choice of the volatility model applied. Similarly, the highest or lowest volatility market day …
Persistent link: https://www.econbiz.de/10011535278
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Cointegration in the foreign exchange market and market efficiency since the introduction of the Euro: Evidence based on bivariate cointegration analyses
Kühl, Michael - 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/10010300150
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Cointegration in the foreign exchange market and market efficiency since the introduction of the euro : evidence based on bivariate cointegration analyses
Kühl, Michael (contributor) - 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/10003582754
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Price discovery on foreign exchange markets with differentially informed traders
Jong, Frank de; Mahieu, Ronald J.; Schotman, Peter C.; … - 1999
This paper uses Reuters exchange rate data to investigate thecontributions to the price discovery process by individual banks in theforeign exchange market. We propose multivariate time series models aswell as models in tick time to study the dynamic relations between thequotes of individual...
Persistent link: https://www.econbiz.de/10011301161
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Heterogeneous expectations in the foreign exchange market evidence from the daily dollar
Ahrens, Ralf; Reitz, Stefan - 2003
In this study a regime switching approach is applied to estimate the chartist and fundamentalist (c&f) exchange rate model originally proposed by Frankel and Froot (1986). The c&f model is tested against alternative regime switching specifications applying likelihood ratio tests. Nested...
Persistent link: https://www.econbiz.de/10009765353
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Macroeconomic News Surprises and Volatility Spillover in the Foreign Exchange Markets
Ben Omrane, Walid - 2018
This paper addresses the central open issue in exchange rate economics: the link between exchange rate volatility and … economic fundamentals. In the framework of a multivariate volatility model that allows for volatility spillover, we develop a … foreign exchange volatility. We show that news announcement effects include two components; a direct and an indirect effect …
Persistent link: https://www.econbiz.de/10012940282
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Time-Varying Risk Premia in Foreign Exchange and Equity Markets : Evidence From Asia–Pacific Countries
Tai, Chu-Sheng - 2021
This paper examines the validity of the risk premia hypothesis in explaining deviations from Uncovered Interest Parity (UIP) and the role of deviations from Purchasing Power Parity (PPP) in the pricing of foreign exchange rates and equity securities in five Asia–Pacific countries and the US....
Persistent link: https://www.econbiz.de/10013244925
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Conditional Correlated Jump Dynamics in Foreign Exchange
Chan, Wing H. - 2005
This paper studies conditional correlated jump dynamics in foreign exchange returns using a new bivariate jump model with autoregressive jump intensities. Using daily data of German Mark against British Pound and Japanese Yen against the U.S. dollar, we find currency return correlations are...
Persistent link: https://www.econbiz.de/10014066295