Feedback trading and autocorrelation interactions in the foreign exchange market: Further evidence

被引:23
|
作者
Laopodis, NT [1 ]
机构
[1] Fairfield Univ, Sch Business, Dept Finance, Fairfield, CT 06824 USA
关键词
D O I
10.1016/j.econmod.2005.05.008
中图分类号
F [经济];
学科分类号
02 ;
摘要
This paper tests for presence of feedback trading, asymmetric behavior and autocorrelation linkages in several industrial and emerging economies' exchange rates, with respect to the US dollar, as well as the Euro. The issue is examined via the means of a GARCH-augmented feedback model for the period of 1990 to 2003. The empirical results indicate presence of feedback trading and/or asymmetric behavior in both types of economies' exchange rates but absence of such behavior in the Euro. Presence of asymmetric behavior implies that market traders rely on central banks to intervene so they can realize short-term profits. Furthermore, evidence of volatility persistence in several exchange rates implies inefficiency in those markets. Finally, there are instances where the first-order autoregressive parameter is positive and statistically significant in the exchange rates of both industrial and emerging economies but not in the Euro. For the latter currency, lack of asymmetric behavior and feedback trading implies a credible currency in the eyes of foreign exchange traders. (c) 2005 Published by Elsevier B.V.
引用
收藏
页码:811 / 827
页数:17
相关论文
共 50 条
  • [31] Cross-market information spillover and the performance of technical trading in the foreign exchange market
    Chang Y.-H.
    Journal of Economics and Finance, 2019, 43 (2) : 211 - 227
  • [32] Do trading hours affect volatility links in the foreign exchange market?
    Treepongkaruna, Sirimon
    Brooks, Robert
    Gray, Stephen
    AUSTRALIAN JOURNAL OF MANAGEMENT, 2012, 37 (01) : 7 - 27
  • [33] An implementation of genetic algorithms as a basis for a trading system on the foreign exchange market
    Hryshko, A
    Downs, T
    CEC: 2003 CONGRESS ON EVOLUTIONARY COMPUTATION, VOLS 1-4, PROCEEDINGS, 2003, : 1695 - 1701
  • [34] Entry cost, the Tobin tax, and noise trading in the foreign exchange market
    Shi, Kang
    Xu, Juanyi
    CANADIAN JOURNAL OF ECONOMICS-REVUE CANADIENNE D ECONOMIQUE, 2009, 42 (04): : 1501 - 1526
  • [35] THE PROFITABILITY OF TRADING IN THE FOREIGN-EXCHANGE MARKET - CHARTISTS, FUNDAMENTALISTS, AND SIMPLETONS
    PILBEAM, K
    OXFORD ECONOMIC PAPERS-NEW SERIES, 1995, 47 (03): : 437 - 452
  • [36] Can technical trading beat the foreign exchange market in times of crisis?
    Yamani, Ehab
    GLOBAL FINANCE JOURNAL, 2021, 48
  • [37] NONSYNCHRONOUS SECURITY TRADING AND MARKET INDEX AUTOCORRELATION
    ATCHISON, MD
    BUTLER, KC
    SIMONDS, RR
    JOURNAL OF FINANCE, 1987, 42 (01): : 111 - 118
  • [38] The noise trading approach - questionnaire evidence from foreign exchange
    Menkhoff, L
    JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 1998, 17 (03) : 547 - 564
  • [39] Determinants of foreign exchange risk: some further evidence
    Lin, Luke
    Lin, Wen-Yuan
    JOURNAL OF RISK, 2017, 20 (02): : 1 - 25
  • [40] Further Evidence on Foreign Exchange Jumps and News Announcements
    Frommel, Michael
    Han, Xing
    Van Gysegem, Frederick
    EMERGING MARKETS FINANCE AND TRADE, 2015, 51 (04) : 774 - 787