The Foreign Exchange Market

Empirical Studies with High-Frequency Data
2000
ISBN: 978-0-333-63083-9
Verlag: Palgrave Macmillan UK

Buch, Englisch, 562 Seiten, Format (B × H): 160 mm x 241 mm, Gewicht: 1021 g

This book brings together a number of research studies, all of which examine the behaviour of foreign exchange rates. The main focus of the collection is on empirical characterisation of high-frequency exchange rate data. The pioneering studies demonstrate and explain, amongst other things, the regular patterns in intra-day foreign exchange rate activity, the effects of macroeconomic news of rates and analyse the profitability of technical trading rules in these markets. The collection will be of use to students, academics and practitioners who are interested in exchange rate dynamics.

Zielgruppe

Research

Autoren/Hrsg.

Payne, R.

Goodhart, C.

Inhaltsverzeichnis

Acknowledgements Notes on the Contributors Introduction PART I: ANALYSIS OF FOREIGN EXCHANGE RATE The Foreign Exchange Market: A Random Walk with a Dragging Anchor Does the Forward Premium/Discount Help to Predict the Future Change in the Exchange Rate?; P.McMahon & Y.Ngama Why Does the Spot-Forward Discount Fail to Predict Changes in Future Spot Rates?; P.McMahon & Y.Ngama PART II: DESCRIPTION OF THE INTRA-DAY FOREIGN EXCHANGE MARKET 'Reuters' Screen Images of the Foreign Exchange Market: The Yen/Dollar and Sterling/Dollar Spot Market; A.Demos 'News' and the Foreign Exchange Market PART III: MEASUREMENT OF MARKET MOVEMENTS USING INTRA-DAY EXCHANGE RATE DATA From Hour to Hour in the Foreign Exchange Market; M.Guigale Some Evidence on Daily Trading in the London Foreign Exchange Market; M.Giugale Every Minute Counts in Financial Markets; L.Figiuoli The Geographical Location of the Foreign Exchange Market: A Test of an 'Islands' Hypothesis; L.Figiuoli News Effects in a High-frequency Model of the Sterling/Dollar Exchange Rate; S.Hall, S.Henry & B.Pesaran Central Bank Forex Intervention Assessed in Continuous Time; T.Hesse Testing for Unit-roots with Very High-Frequency Spot Exchange Rate Data; P.McMahon & Y.Ngama The Interaction Between the Frequency of Market Quotations, Spreads and Volatility in the Foreign Exchange Market; A.Demos PART IV: TECHNICAL ANALYSIS Chartism: A Controlled Experiment; R.Curcio Do Technical Trading Rules Generate Profits? Evidence from the Intra-Day Foreign Exchange Market; R.Curcio, D.Guillaume & R.Payne PART V: INTRA-DAY EXCHANGE RATE MOVEMENTS AND TRANSACTIONS DATA One Day in June 1993: A Study of the Working of Reuters 2000-2 Electronic Foreign Exchange Trading System; R.Payne & T.Ito Microstructural Dynamics in a Foreign Exchange Electronic Broking System; R.Payne PART VI: WHERE WE STAND High-Frequency Data in Financial Market: Issues and Applications; M.O'Hara Conclusions and Directions for Future Research Index

Über Autor(innen)

CHARLES GOODHART is the Norman Sosnow Professor of Banking and Finance at the London School of Economics. In 1997 he was appointed one of the outside independent members of the Bank of England's new Monetary Policy Committee. Besides numerous articles, he has written two books on monetary history, and a graduate monetary textbook, . He has also published two collections of papers on monetary policy, (1984) (1995), and an institutional study of (1988).

RICHARD PAYNE is a Lecturer in Finance in the Department of Accounting and Finance at the London School of Economics and Political Science. He completed a PhD in Economics at the LSE in 1998. His research interests include financial econometrics, empirical market microstructure and international finance.