A Reform on the Forward Foreign Exchange Market and Foreign Exchange Rate Determination in Korea with Foreign Exchange Policy Experiences of Taiwan

Pacific Focus ◽  
2008 ◽  
Vol 5 (1) ◽  
pp. 95-110
Author(s):  
Yen Kyun Wang
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Foreign Exchange Rate ◽  
Exchange Market ◽  
Exchange Rate Determination ◽  
Exchange Policy

Volatility Spillover Structure of Stock and Foreign Exchange Market between Korea, Japan, and Hong Kong

2006 ◽  
pp. 162-182
Author(s):  
Masayuki Susai
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Exchange Rate Volatility ◽  
Foreign Exchange Rate ◽  
Volatility Spillover ◽  
Exchange Market ◽  
Portfolio Risk ◽  
International Portfolio

Highly developed IT technology can be the source of volatility spillover between markets located in other countries. In this chapter, we investigate the interrelationship between stock returns in North East Asian countries and the effect of foreign exchange rate volatility on the interrelationship between stock returns. We bring out clear simultaneous interrelationship between stock return and foreign exchange volatility. Focusing on covariance of each asset returns, if we do not take foreign exchange rate volatility into account when we evaluate our international portfolio, the portfolio risk might be underevaluated. The analysis shows that foreign exchange market turbulence might be accompanied by increase in covariance between stock returns. Just after the Asian currency crisis, the relationship between stock returns and foreign exchange turbulence might have changed. For managing international portfolio risk, we should be aware of foreign exchange risk and structural change in covariance between stock returns.

The Floating Dollar in the Greenback Period: A Test of Theories of Exchange-Rate Determination

1981 ◽  
Vol 41 (3) ◽  
pp. 629-650 ◽  
Author(s):  
Lawrence H. Officer
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Foreign Exchange ◽  
Purchasing Power Parity ◽  
Foreign Exchange Market ◽  
Purchasing Power ◽  
Exchange Market ◽  
Power Parity ◽  
Exchange Rate Determination ◽  
Income Effects

Some leading modern theories of exchange-rate determination are pitted against each other in explaining fundamental movements of the freely floating U.S. dollar in the foreign-exchange market during the greenback period, 1862–1878. A purchasing-power-parity theory augmented to incorporate interest-rate, and possibly income, effects provides the best explanation of the exchange rate. The standard works on the greenback period are subject to some amendments in light of the study.

scholarly journals Efficiency of the Black Foreign Exchange Market

2019 ◽  
Vol 11 (2) ◽  
pp. 165
Author(s):  
Ali Farhan Chaudhry ◽  
Mian Muhammd Hanif ◽  
Sameera Hassan ◽  
Muhammad Irfan Chani
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Weak Form ◽  
Exchange Rate Policy ◽  
Foreign Exchange Rate ◽  
Ratio Test ◽  
Exchange Market ◽  
Policy Makers

This empirical study is first of its nature to examine the weak-form of efficiency for unofficial foreign exchange market of Pakistan proxied by Japanese Yen (JPY/PKR), Swiss Franc (CHF/PKR), British Pound (GBP/PKR), and US Dollar (USD/PKR) exchange rates. For this we have employed Ljung Box Q-test, unit root tests including Dickey-Fuller (Dickey 1979), Augmented Dickey-Fuller (Dickey 1981) tests and Phillips and Perron (1988) test, Durbin Watson test, Runs-test, and Variance ratio test by using unofficial foreign exchange rate time series of Yen/PKR, CHF/PKR, GBP/PKR and USD/PKR from 1994M07 to 2001M06. Empirical results lead to the conclusion that the unofficial foreign exchange market of Pakistan is weak-form efficiency. The implications of this empirical research are of great importance for designing foreign exchange policy i.e. policy makers (be it accounting, export/import or public policy makers) are to consider fluctuations in unofficial foreign exchange rates while designing official foreign exchange rate policy of developing country like Pakistan. Further, policymakers can enhance the efficiency of official foreign exchange market by intervention subject to a widening of unofficial foreign exchange premium beyond a certain limit in developing countries like Pakistan.

scholarly journals The microstructure of foreign exchange rate and foreign exchange rate formation

2005 ◽  
Vol 50 (164) ◽  
pp. 63-79
Author(s):  
Vladimir Vuckovic
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Market Microstructure ◽  
Foreign Exchange Market ◽  
Foreign Currency ◽  
Stock Exchange ◽  
Foreign Exchange Rate ◽  
Exchange Market ◽  
Market Participants ◽  
Essential Question

The subject matter of market microstructure analysis are processes through which investor activities are transferred to quantities and prices. This direction indicates the fact that has been unjustifiably neglected in fundamental theories ? foreign exchange rate results from the interactions between market participants. Spot foreign exchange market can best be described as a decentralised market with a number of dealers. There is no organised physical place (stock exchange) where dealers meet their clients nor is there an electronic system which enables quotations of all dealers in a currency market to be simultaneously shown on the screen. The theory of order flows has resulted from the answer to the essential question of market microstructure: do trading mechanisms affect the price formation process of the trading subject, and how do they affect it. Information is scattered and not available to all subjects in an aggregate form, which is the consequence of a decentralised structure, lack of regulations and nontransparent trading on the foreign exchange market. In such a setting, market participants are incessantly aggregating signals based on scattered information, and no sooner than collective orders for foreign currency sales and purchases are formed do they build into the foreign exchange rate in the process of new information trading. are a good explanation for changes in the foreign exchange rate. Several studies have shown that order flows.

scholarly journals BITCOIN-USD TRADING USING SVM TO DETECT THE CURRENT DAY’S TREND IN THE MARKET

2019 ◽  
Vol 1 (1) ◽  
pp. 70-77
Author(s):  
Ferdiansyah Ferdiansyah ◽  
Edi Surya Negara ◽  
Yeni Widyanti
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Investment Decisions ◽  
Market Value ◽  
Develop Model ◽  
Support Vector ◽  
Prediction Tool ◽  
Exchange Market ◽  
Support Vector Classifier

Cryptocurrency trade is now a popular type of investment. Cryptocurrency market has been treated similar to foreign exchange and stock market. The Characteristics of Bitcoin have made Bitcoin keep rising In the last few years. Bitcoin exchange rate to American Dollar (USD) is $3990 USD on November 2018, with daily pice fluctuations could reach 4.55%2. It is important to able to predict value to ensure profitable investment. However, because of its volatility, there’s a need for a prediction tool for investors to help them consider investment decisions for cryptocurrency trade. Nowadays, computing based tools are commonly used in stock and foreign exchange market predictions. There has been much research about SVM prediction on stocks and foreign exchange as case studies but none on cryptocurrency. Therefore, this research studied method to predict the market value of one of the most used cryptocurrency, Bitcoin. The preditct methods will be used on this research is regime prediction to develop model to predict the close value of Bitcoin and use Support vector classifier algorithm to predict the current day’s trend at the opening of the market

scholarly journals HEDGING CURRENCY RISKS IN INTERNATIONAL BUSINESS USING THE OPPORTUNITIES OF THE INTERNATIONAL FOREIGN EXCHANGE MARKET

2021 ◽  
Author(s):  
Olena Liegostaieva
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
International Business ◽  
Foreign Exchange Market ◽  
Foreign Currency ◽  
Exchange Market ◽  
Currency Risk ◽  
Exchange Rate Fluctuations ◽  
Current Value ◽  
Financial Result

The article is devoted to the study of currency risk hedging in international business. The article notes that the international foreign exchange market is the largest and fastest growing of all world markets. The characteristic features of the international currency market are substantiated and offered. It is also noted that foreign exchange transactions provide economic ties between participants located on different sides of state borders: settlements between firms from different countries for the supply of goods and services, foreign investment, international tourism and business travel. It is determined that hedging of currency risks is the protection of funds from the unfavorable movement of exchange rates, and is carried out in fixing the current value of funds by concluding an agreement on the foreign exchange market. When hedging, the risk of exchange rate changes disappears, and this makes it possible to forecast the company's activities and see the financial result, which is not distorted by exchange rate fluctuations, which will allow you to determine product prices, calculate profits, etc. The main difference between hedging and other types of transactions is that its purpose is not to generate additional profits, but to reduce the risk of potential losses, as risk reduction is almost always necessary to pay, hedging, of course, involves additional costs. Hedging is a way to improve business planning. An enterprise wishing to use this service shall pledge the specified amount, from which losses on its positions will be deducted. In today's conditions, thanks to the foreign exchange market, there is a very reliable way to hedge currency risk. This method is to fix the current value of funds by concluding agreements in this market. With hedging, the company eliminates the risk of exchange rate fluctuations, and this allows you to forecast activities and see the financial result, which is not changed by exchange rate fluctuations. Allows you to pre-determine product prices, determine profits, etc. Thus, the principle of hedging in international business is to open a currency position in a foreign currency account for future transactions to convert funds.

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