Author: Christopher Lee ParrishPublisher:
ISBN:
Category : Foreign exchange futures
Languages : en
Pages : 90
Book Description
The Determinants of Trading Volume in the Foreign Exchange Futures Market
Author: Christopher Lee ParrishPublisher:
ISBN:
Category : Foreign exchange futures
Languages : en
Pages : 90
Book Description
Determinants of Trading Volume in Futures Markets
Author: Terrence F. MartellPublisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 28
Book Description
Foreign Exchange Market Trading Volume and Federal Reserve Intervention
Author: Alain ChaboudPublisher:
ISBN:
Category :
Languages : en
Pages : 13
Book Description
We find a large positive correlation between daily trading volume in currency futures markets and foreign exchange intervention by the Federal Reserve over the period 1979-1996. Neither contemporaneous nor predicted volatility can fully account for the increases in trading activity. Whether or not the intervention operation is publicly reported appears to be an important determinant of trading volume.
Determinants of Trading Volume in Futures Markets
Author: Terrence F. MartellTrading Volumes, Volatility and Spreads in Foreign Exchange Markets
Author: Gabriele GalatiPublisher:
ISBN:
Category : Capital market
Languages : en
Pages : 44
Book Description
This paper provides empirical evidence on the relationship between trading volumes, volatility and bid-ask spreads in foreign exchange markets. It uses a new data set that includes daily data on trading volumes for the dollar exchange rates of seven currencies from emerging market countries. The sample period is 1 January 1998 to 30 June 1999. The results are broadly consistent with the findings of the literature that used futures volumes as proxies for total foreign exchange trading. I find that in most cases unexpected trading volumes and volatility are positively correlated, suggesting that both are driven by the arrival of public information, as predicted by the mixture of distributions hypothesis. I also find that the correlation between trading volumes and volatility is positive during "normal" periods but turns negative when volatility increases sharply. Finally, the results suggest that volatility and spreads are positively correlated, as suggested by inventory cost models. However, contrary to the prediction of these models, I do not find evidence of a significant impact of unexpected trading volumes on spreads.
The Foreign Exchange Futures Market
Author: David Kuan Yong DingPublisher:
ISBN:
Category : Foreign exchange futures
Languages : en
Pages : 202
Book Description
Return, Trading Volume, and Market Depth in Currency Futures Markets
Author: Ai-ru Meg ChengLinear and Non-Linear Dependence between Returns and Trading Volume in the Currency Futures Market
Author: Wan Mansor MahmoodPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
In this paper, the relationship between returns and trading volume is examined for four futures contracts for the period January 1, 1986 to April 30, 1997. Both linear and nonlinear dependence are examined. The study first employs linear causality tests and find that futures returns and volume have no predictive power for one another. However, since the series show evidence of nonlinear dependence, the GARCH model is then employed. The results show a sifnificant relationship between the returns and volume for only two of the four currencies (i.e Japanese yen and Swiss franc) tested. Moveover, when the series are divided into subsamples, the results of the GARCH tests point to a significant relationship for all currency futures regarding the prediction of returns from volume traded, although mainly in the second period. The results of this study suggest that trading volume can provide importat information in return prediction using a nonlinear model but that the series do not exihibit homogenous behaviour over the entire sample period. Further, the results support the sequential information arrival hypothesis ounly in few cases.
The Microstructure of Foreign Exchange Markets
Author: Jeffrey A. FrankelPublisher: University of Chicago Press
ISBN: 0226260232
Category : Business & Economics
Languages : en
Pages : 358
Book Description
The foreign exchange market is the largest, fastest-growing financial market in the world. Yet conventional macroeconomic approaches do not explain why people trade foreign exchange. At the same time, they fail to explain the short-run determinants of the exchange rate. These nine innovative essays use a microstructure approach to analyze the workings of the foreign exchange market, with special emphasis on institutional aspects and the actual behavior of market participants. They examine the volume of transactions, heterogeneity of traders, the time of day and location of trading, the bid-ask spread, and the high level of exchange rate volatility that has puzzled many observers. They also consider the structure of the market, including such issues as nontransparency, asymmetric information, liquidity trading, the use of automated brokers, the relationship between spot and derivative markets, and the importance of systemic risk in the market. This timely volume will be essential reading for anyone interested in the economics of international finance.
Author: Wan Mansor Wan Mahmood