foreign exchange markets
Return and volatility spillovers among stock and foreign exchange markets: empirical evidence from selected African markets
... African markets had their own share of the crisis, since they may be one way or another be related to other global ...and foreign exchange markets responded with some negative spikes in the ...
8
A simple asymmetric herding model to distinguish between stock and foreign exchange markets
... these markets belong to the same class, which is characterized by a dominance of the stylized noise ...major foreign exchange markets to a different class, where on average the majority of ...
39
Do Carry Trades in the Foreign Exchange Markets Influence Stock Prices
... the foreign exchange markets: fundamentalists and ...the exchange rate to revert to its fundamental value and chartists tend to extrapolate the trend for the recent ...among markets, ...
7
Bernanke Was Right: Currency Manipulation Policy in Emerging Foreign Exchange Markets
... the foreign exchange markets, it is a difficult task for both academic researchers and policy makers to verify whether countries let their exchange rate adjust freely as they ...in ...
22
Trading Price Jump Clusters in Foreign Exchange Markets
... in foreign exchange ...the foreign exchange markets is crucial for arbitrage trading and market ...when markets expect ground-breaking news may suffer liquidity shocks as fund ...
53
A Comparative Study of the Taiwan and Japan Equity and Foreign Exchange Markets: Modeling, Estimation and Application of the Component Garch-in-Mean Model
... emerging markets around the East-Asia region not quite much research has been done on the interactive effects of the stock and foreign exchange markets regarding the view of the short- and ...
21
Information flows in foreign exchange markets: Dissecting customer currency trades
... This table reports regression results for the risk exposures of the BMS portfolios of financial FX market end-users, that is, long-term demand-side investment managers (LT) and short-term demand-side investment managers ...
87
Official Central Bank Interventions in the Foreign Exchange Markets : A DCC Approach with Exogenous Variables
... currency markets, ...on exchange returns and especially on ...affect exchange returns and has in most of the cases the opposite outcome on volatility from that expected (among others see Beine, 2004; ...
41
Microstructure analysis of the effects of news on order flows and on price discovery in foreign exchange markets
... equity markets do fall around public news announcements, but thus far, little has been done in FX ...the exchange rate (mid-quote) to change and also caused depth to fall dramatically in the minute ...
247
Trading Price Jump Clusters in Foreign Exchange Markets
... Permanent repository link: http://openaccess.city.ac.uk/6972/ Link to published version: http://dx.doi.org/10.1016/j.finmar.2015.03.002 Copyright and reuse: City Research Online aims to [r] ...
6
Stock and foreign exchange markets in the Pacific Basin Rim
... Thus, as foreign capital restrictions are lifted in the Pacific Basin Stock markets and the link between the foreign exchange market and the stock market increases, there will also be an[r] ...
282
Volatility Modelling with Applications to Equity and Foreign Exchange Markets
... This chapter develops a novel discrete-time model for the asset return based on the high- frequency data and mixture of normal distributions of the latent volatility. We use ex- pectation maximization algorithm to avoid ...
151
Order flow, information and trading behaviour in foreign exchange and equity markets
... exist markets that bear at least an approximate resemblance to the Walrasian ...financial markets where price-setting cannot be convincingly argued to fit in this ...the foreign exchange ...
163
The Labour Government, the Treasury and the £6 pay policy of July 1975
... of 1975 as the Treasury had predicted. Over two days in the second week of May, the Bank used $313 million in support of the rate (TNA T 358/208, Note for the Record, 13 May 1975), and between April and June, the Bank‟s ...
20
Moderating Effect of Interest Rates on Relationship between Foreign Exchange Rate Fluctuation and Performance of Nairobi Securities Exchange Market
... currencies. Exchange rate is a national and international political, social and economic ...perspective, foreign exchange rate has an effect on the country’s economy whereas from a micro perspective ...
8
The impact of exchange rate volatility on capital flows in BRICS economies
... the foreign exchange market and securities market in emerging and developing economies (see Bonga-Bonga and Hoveni, 2013 and Mishra et ...in exchange rate and capital ...the foreign ...
29
Abstract: We examine the impact of economic news releases on returns, volatility and jumps of the
... and foreign exchange markets of South ...and foreign exchange ...financial markets, it is economically vital to progress to an econometric understanding of financial time series ...
13
The economic background [June 1995]
... In particular, we ask the question: can economic fundamentals explain the exchange rate behaviour we observe in foreign exchange markets, or is the behaviour simply a reflection of ill-i[r] ...
5
On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets
... the foreign currencies exchange ...the foreign exchange markets at an influence by the discrete information absorption processes in the diffusion – type financial systems with the ...
173
Analysis of Volatility transmission across South African Financial Markets
... other foreign markets have mainly focused on returns linkages, information flow and volatility transmission of financial markets between countries for not more than three markets, this paper ...
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