Speculative noise trading and manipulation in the foreign exchange market

被引：31

作者：

Vitale, P ^{[1
]}

机构：

[1] Univ London, London Sch Econ, Dept Accounting & Finance, London WC2A 2AE, England

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2000年 / 19卷 / 05期

关键词：

foreign exchange market; speculative noise trading; manipulation;

D O I：

10.1016/S0261-5606(00)00025-5

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We investigate the possibility that in the foreign exchange market uninformed speculators find it convenient to trade on noise in order to gain an informational advantage they can exploit in future. In a two-period model, we analyze the trade-off between the cost of the "informational investment" and the profits this brings about, studying the optimal manipulation strategy under different hypotheses on the activity of market participants. Our results give a possible explanation for the presence of noise trading in the foreign exchange market. (C) 2000 Elsevier Science Ltd. All rights reserved. JEL classification: D82; G14; G15.

引用

页码：689 / 712

页数：24

共 27 条

[11] FOREIGN-EXCHANGE RATE FORECASTING TECHNIQUES - IMPLICATIONS FOR BUSINESS AND POLICY
GOODMAN, SH
[J]. JOURNAL OF FINANCE, 1979, 34 (02) : 415 - 427
[12] ITO T, 1987, J MONETARY ECON, V19, P257
[13] CONTINUOUS AUCTIONS AND INSIDER TRADING
KYLE, AS
[J]. ECONOMETRICA, 1985, 53 (06) : 1315 - 1335
[14] LEBARON B, 1996, NBER WORKING PAPER, V5505
[15] THE SIGNIFICANCE OF TECHNICAL TRADING-RULE PROFITS IN THE FOREIGN-EXCHANGE MARKET - A BOOTSTRAP APPROACH
LEVICH, RM
THOMAS, LR
[J]. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 1993, 12 (05) : 451 - 474
[16] ARE FOREIGN-EXCHANGE INTERVENTION AND MONETARY-POLICY RELATED, AND DOES IT REALLY MATTER
LEWIS, KK
[J]. JOURNAL OF BUSINESS, 1995, 68 (02) : 185 - 214
[17] TESTS OF MICROSTRUCTURAL HYPOTHESES IN THE FOREIGN-EXCHANGE MARKET
LYONS, RK
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1995, 39 (2-3) : 321 - 351
[18] Non-fundamental speculation
Madrigal, V
[J]. JOURNAL OF FINANCE, 1996, 51 (02) : 553 - 578
[19] Menkhoff L., 1995, BANCA NAZL LAVORO Q, V48, P189
[20] NEELY C, 1997, TECHNICAL ANAL CENTR

← 1 2 3 →