Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets

Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets
Author: Robert J. Hodrick
Publisher: CRC Press
Total Pages: 190
Release: 2023-08-18
Genre: Mathematics
ISBN: 1000943380

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This book presents a critical review of the empirical literature that studies the efficiency of the forward and futures markets for foreign exchange. It provides a useful foundation for research in developing quantitative measures of risk and expected return in international finance.

The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets

The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets
Author: Robert J. Hodrick
Publisher:
Total Pages: 0
Release: 2018
Genre: MATHEMATICS
ISBN: 9781003420385

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This book presents a critical review of the empirical literature that studies the efficiency of the forward and futures markets for foreign exchange. It provides a useful foundation for research in developing quantitative measures of risk and expected return in international finance.

The Foreign Exchange Market

The Foreign Exchange Market
Author: Richard T. Baillie
Publisher: Cambridge University Press
Total Pages: 280
Release: 1989
Genre: Business & Economics
ISBN: 9780521396905

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The flotation of exchange rates in the early 1970s saw a significant increase in the importance of foreign exchange markets and in the interest shown in them. Apart from the consequent institutional changes, this period also witnessed a revolution in macroeconomic analysis and finance theory based on the concept of rational expectations. This book provides an integrated approach to recent developments in the understanding of foreign exchange markets. It begins by charting the institutional background and looks at the recent history of movements in some of the major exchange rates. The theoretical sections focus on the economic and finance theory of the asset market approach, the macroeconomic models developed from this approach, and on interest rate parity theory. The empirical chapters draw on the authors' own research from a high quality set of exchange rate and interest rate data. The statistical properties of exchange rates are analysed; the relationship between spot and forward rates is examined; and the modelling and impact of new information on the forward and spot relationship is considered. The final chapter is devoted to the estimation and testing of exchange rate models.

An empirical study of efficient market hypothesis and its existence in virtual markets

An empirical study of efficient market hypothesis and its existence in virtual markets
Author: Jason West
Publisher: GRIN Verlag
Total Pages: 73
Release: 2017-05-09
Genre: Business & Economics
ISBN: 3668443157

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Bachelor Thesis from the year 2015 in the subject Economics - Finance, grade: 2:1 (68%), Northumbria University, course: Business with Financial Management, language: English, abstract: Virtual and computer games are rapidly increasing with the introduction of the smartphone and the app stores across multiple platforms and devices with an increase in games with virtual economies. This dissertation will analyse the efficient market hypothesis, along with commonly known anomalies and information announcements. It will find out whether there are market inefficiencies in virtual games in the form of anomalies, more specifically the intra-day effect. The intra-day effect anomaly is one of many critiques of the efficient market hypothesis and there have been many studies conducted into the intra-day effect. Most research on the intra-day effect anomaly is concerning real world markets and the results have contradicted one another. This study looks at the price change movements of 118 randomly quota sampled player cards within the market of FIFA Ultimate Team. Statistical analysis in the form of mean, standard deviation, and coefficients of variances tests were carried out to identify if there were any market anomalies and reactions to information announcements. A strong correlation between market inefficiencies, anomalies, and information announcements had been discovered within the research of the virtual market in FIFA Ultimate Team. The study actually found that because of an information announcement overreaction and an intra-day effect, at a specific time during a Wednesday, a player could sell their card for potentially 233% more than what they could have an hour earlier. This research study in turn supports that market anomalies do exist in games but it was also discovered that the market is semi-strong form efficient in its reaction post-information announcement.

Rational Expectations and Efficiency in Futures Markets

Rational Expectations and Efficiency in Futures Markets
Author: Barry Goss
Publisher: Routledge
Total Pages: 240
Release: 2005-10-09
Genre: Business & Economics
ISBN: 1134975201

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Do traders in futures markets make use of all relevant information and is this reflected in prices? This collection of original essays by a team of international economists considers these and other questions central to futures markets.

The Efficient Market Hypothesis and Its Application to Stock Markets

The Efficient Market Hypothesis and Its Application to Stock Markets
Author: Sebastian Harder
Publisher: GRIN Verlag
Total Pages: 65
Release: 2010-11
Genre: Business & Economics
ISBN: 3640743768

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Research Paper (undergraduate) from the year 2008 in the subject Business economics - Investment and Finance, grade: 1.7, The FOM University of Applied Sciences, Hamburg, language: English, abstract: Especially after the 90ies, where the stock markets raised enormously, many private investors joined the stock market and were blended by abnormal profits and neglected possible losses. The same behavior could be observed before the Financial Crisis became reality. But each endless raising stock market would finally collapse, because stock prices are randomly and only driven by relevant news. The adjustment to the news is quickly. This is the theoretical argumentation of the Efficient Market Hypothesis (EMH), which will be evaluated in this paper. The author gives an overview about the EMH by explaining the basic principles and its mathematical formulation. The practical part evaluated the EMH on selected examples, where the theory could only be partly approved.