Download or read book Regression Vs Volatility Tests of the Efficiency of Foreign Exchange Markets written by Jeffrey A. Frankel and published by . This book was released on 1987 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Relationship Between Regression and Volatility Tests of Market Efficiency written by and published by . This book was released on 1983 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Relationship Between Regression and Volatility Tests of Market Efficiency written by Jeffrey A. Frankel and published by . This book was released on 1983 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Second moment Market Efficiency written by Tareq Inamul Hoque and published by . This book was released on 1992 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Relationship Between Regression Tests and Volatility Tests of Market Ncy written by and published by . This book was released on 1987 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Volatility tests are an alternative to regression tests for evaluating the joint null hypothesis of market efficiency and risk neutrality. Acomparison of the power of the two kinds of tests depends on what the alternative hypothesis is taken to be. By considering tests based on conditional volatility bounds, we show that if the alternative is that one could"beat the market" using a linear combination of known variables, then the regression tests are at least as powerful as the conditional volatility tests. If the application is to spot and forward markets, then the most powerful conditional volatility test turns out to be equivalent to the analogous regression test in terms of asymptotic power. In other applications, the volatility test will be less powerful than regression tests against our chosen alternative. However, these results are not inconsistent with the observation that volatility tests may be more powerful against other alternative hypoth-eses, such as that risk-averse investors are rationally maximizing the present discounted utility of future consumption, with a time-varying discount rate.
Download or read book The Foreign Exchange Market written by Richard T. Baillie and published by Cambridge University Press. This book was released on 1989 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Alternative Efficiency Tests and Return Behavior in the Foreign Exchange Market written by Henock Louis and published by . This book was released on 1998 with total page 366 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Tests of excess forecast volatility in the foreign exchange and stock markets written by Kenneth Froot and published by . This book was released on 1987 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Simple regression tests that have power against the alternatives that asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds techniques. We find evidence that both exchange rates and stock prices are excessively volatile and that expected returns on foreign exchange and stocks move too much. We also investigate whether these findings can be attributed to time-varying risk premia, but in our tests the data provide little support for such an alternative hypothesis.
Download or read book Are Exchange Rates Excessively Volatile and What Does Excessively Volatile Mean Anyway written by Mr.Leonardo Bartolini and published by International Monetary Fund. This book was released on 1995-08 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using data for the major currencies from 1973 to 1994, we apply recent tests of asset price volatility to re-examine whether exchange rates have been excessively volatile with respect to the predictions of the monetary model of the exchange rate and of standard extensions that allow for sticky prices, sluggish money adjustment, and time-varying risk premia. Consistent with previous evidence from regression-based tests, most of the models that we examine are rejected by our volatility-based tests. In general, however, we find that exchange rates have not been excessively volatile relative to movements of their determinants, with respect to the predictions of even the most restrictive version of the monetary model. Alternative measures of “volatility”, however, may disguise the cause of rejection as excessive exchange rate volatility. This a Working Paper and the author(s) would welcome any comments on the present text. Citations should refer to a Working Paper of the International Monetary Fund, mentioning the author(s), and the date of issuance. The views expressed are those of the author(s) and do not necessarily represent those of the Fund.
Download or read book Market Volatility and Foreign Exchange Intervention in EMEs written by Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Heteroskedastic Intra daily Volatility in the Foreign Exchange Market written by Wen-ling Tsai Lin and published by . This book was released on 1989 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing Rational Expectations and Efficiency in the Foreign Exchange Market written by Richard T. Baillie and published by . This book was released on 1981 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing Rational Expectations and Efficiency in the Foreign Exchange Market written by Richard T. Baillie and published by . This book was released on 1981 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Logistic Indicator A Foreign Exchange Index Day Trade Model written by Jianing Fang and published by LAP Lambert Academic Publishing. This book was released on 2015-12-15 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: The debate about the efficient market hypothesis has been running for decades, but it is growing more contestable and salient as global capital markets grow increasingly intertwined and investors become more engaged through a greater diversity in investment options with the help of the rapid developments in computing and information technologies. To examine this complex and volatile global securities landscape, this book tests the efficient market hypothesis using logistic regressions and develops the Logistic Indicator, a foreign exchange index day-trade model and a practical barometer and security investment tool. Along with an overview of the efficient market hypothesis debate and a broad examination of the globalization of financial markets, this study provides robust evidence of significant correlations between stock exchange indexes through the use of logistic regressions in addition to multiple regression analysis.
Download or read book Market Volatility written by Robert J. Shiller and published by MIT Press. This book was released on 1992-01-30 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt: Market Volatility proposes an innovative theory, backed by substantial statistical evidence, on the causes of price fluctuations in speculative markets. It challenges the standard efficient markets model for explaining asset prices by emphasizing the significant role that popular opinion or psychology can play in price volatility. Why does the stock market crash from time to time? Why does real estate go in and out of booms? Why do long term borrowing rates suddenly make surprising shifts? Market Volatility represents a culmination of Shiller's research on these questions over the last dozen years. It contains reprints of major papers with new interpretive material for those unfamiliar with the issues, new papers, new surveys of relevant literature, responses to critics, data sets, and reframing of basic conclusions. Included is work authored jointly with John Y. Campbell, Karl E. Case, Sanford J. Grossman, and Jeremy J. Siegel. Market Volatility sets out basic issues relevant to all markets in which prices make movements for speculative reasons and offers detailed analyses of the stock market, the bond market, and the real estate market. It pursues the relations of these speculative prices and extends the analysis of speculative markets to macroeconomic activity in general. In studies of the October 1987 stock market crash and boom and post-boom housing markets, Market Volatility reports on research directly aimed at collecting information about popular models and interpreting the consequences of belief in those models. Shiller asserts that popular models cause people to react incorrectly to economic data and believes that changing popular models themselves contribute significantly to price movements bearing no relation to fundamental shocks.
Download or read book Theory and Modelling of Efficiency Tests in Foreign Exchange Markets written by Birgit Hoefer and published by . This book was released on 1987 with total page 98 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing for Efficiency and Rationality in Foreign Exchange Markets written by Peijie Wang and published by . This book was released on 1998 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
