Exchange markets

2021 ◽  
Vol 19 (2) ◽  
pp. 37-45
Author(s):  
Simina Brânzei
Keyword(s):  
Exchange Market ◽  
Response Dynamics ◽  
Basic Model ◽  
Exchange Markets ◽  
Future Work

The exchange market is a basic model of an economy, where agents bring resources that they own to the market in order to exchange them for other goods that they need. There is a rich literature on the equilibrium properties of such markets starting with the work of Arrow and Debreu. In this note we survey recent results on proportional response dynamics in exchange markets with linear utilities and suggest several directions for future work.

scholarly journals Transmission Of Volatility Shocks Between The Equity And Foreign Exchange Markets In South Africa

2013 ◽  
Vol 29 (5) ◽  
pp. 1529 ◽  
Author(s):  
Lumengo Bonga-Bonga
Keyword(s):  
South Africa ◽  
South African ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Impulse Response Function ◽  
Equity Market ◽  
Stock Market Volatility ◽  
Exchange Market ◽  
Conditional Volatility ◽  
Exchange Markets

<p>The paper assesses the dynamic interaction between exchange rates and stock market volatility in South Africa by making use of the generalised impulse response function obtained from a bivariate VAR model. Volatility variables in the VAR system are obtained from a family of GARCH models based on criteria such as covariance stationarity and leverage effects. The findings of the paper show that foreign exchange conditional volatility responds positively to volatility shocks to the equity market. Nonetheless, the response of the equity market conditional volatility to volatility shocks to the foreign exchange market is short-lived and neutral for most of the time horizon periods. The paper attributes this finding mainly to the extent of foreign participation in emerging equity market in general and the South African equity market in particular.</p>

scholarly journals Alarming of exchange rate crisis: A risk management approach

2016 ◽  
Vol 6 (2) ◽  
pp. 79-88
Author(s):  
Da Zhao ◽  
Tianhao Wu
Keyword(s):  
Risk Management ◽  
Exchange Rate ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Management Approach ◽  
Exchange Market ◽  
Sample Data ◽  
Out Of Sample ◽  
Exchange Markets ◽  
Development Levels

Recently, with increasing volatility of foreign exchange rate, risk management becomes more and more important not only for multinational companies and individuals but also for central governments. This paper attempts to build an econometrics model so as to forecast and manage risks in foreign exchange market, especially during the eve of turbulent periods. By following McNeil and Frey’s (2000) two stage approach called conditional EVT to estimate dynamic VaR commonly used in stock and insurance markets, we extend it by applying a more general asymmetric ARMA-GARCH model to analyze daily foreign exchange dollar-denominated trading data from four countries of different development levels across Asia and Europe for a period of more than 10 years from January 03, 2005 to May 29, 2015, which is certainly representative of global markets. Conventionally, different kinds of backtesting methods are implemented ultimately to evaluate how well the model behaves. Inspiringly, test results show that by taking several specific characteristics (including fat-tails, asymmetry and long-range dependence) of the foreign exchange market return data into consideration, the violation ratio of out-of-sample data can be forecasted very well for both fixed and flexible foreign exchange regimes. Moreover, all of the violations are evenly distributed along the whole period which indicates another favorable property of our model. Meanwhile, we find evidence of asymmetry volatility in all of the studied foreign exchange markets even though the magnitudes of the most of them are weak.

Examining Volatility Spillover Between Foreign Exchange Markets and Stock Markets of Countries such as BRICS Countries

2021 ◽  
pp. 097215092110205
Author(s):  
Dharmendra Singh ◽  
M. Theivanayaki ◽  
M. Ganeshwari
Keyword(s):  
South Africa ◽  
Stock Market ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Foreign Exchange Markets ◽  
Volatility Spillover ◽  
Exchange Market ◽  
Currency Market ◽  
Brics Countries ◽  
Exchange Markets

The objective of this article is to examine the volatility spillover effect between the foreign exchange market and the stock market of Brazil, Russia, India, China and South Africa (BRICS) countries along with Japan as the developed country in the region, affecting the BRICS countries. Generalized Autoregressive Conditionally Heteroscedastic (GARCH) (1,1) method is used to study the volatility between the stock market and the foreign exchange market in selected countries, and asymmetric model, that is, Exponential Generalized Autoregressive Conditional Heteroscedasticity—EGARCH (1,1) is also used to investigate the presence of leverage effects in both stock market and foreign exchange market in selected countries. GARCH findings suggest a two-way volatility spillover between the stock market and foreign exchange markets for India, China and South Africa. In BRICS countries, volatility spillover from the currency market to the stock market is seen as more evident and robust as compared to spillover from the stock market to the currency market. A positive asymmetry in spillover is also observed from the foreign exchange market to the stock market. The findings of the study may provide valuable information to investors for decision-making in international portfolio investment and also for economic policymakers for their financial stability perspective.

scholarly journals The Uncovered Interest Rate Parity Anomaly And Foreign Exchange Market Turnover

2012 ◽  
Vol 11 (3) ◽  
pp. 299 ◽  
Author(s):  
John F. Boschen ◽  
Kimberly J. Smith
Keyword(s):  
Interest Rate ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Foreign Exchange Markets ◽  
Exchange Market ◽  
Interest Rate Parity ◽  
High Interest Rate ◽  
Uncovered Interest Rate Parity ◽  
Exchange Markets ◽  
Rate Parity

The uncovered interest rate parity (UIP) anomaly is that high interest rate currencies appreciate, rather than depreciate, against low interest rate currencies. We show that the UIP anomalies apparent in six major currency pairs have diminished over our 1995-2010 sample period. We further show that the observed decline in deviations from UIP is associated with the substantially higher transaction volume now present in the foreign exchange markets. We interpret our findings as consistent with the proposition that the UIP anomaly dissipates as the foreign exchange markets become more efficient.

scholarly journals Role played by FMC in the Indian Economy and Merger of Forward Market Commission in SEBI

2019 ◽  
Vol 13 (01) ◽  
Author(s):  
Nazia Jamal
Keyword(s):  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Financial Sector ◽  
Exchange Market ◽  
Day Trading ◽  
Forward Market ◽  
Clearing And Settlement ◽  
Exchange Markets ◽  
The Government ◽  
Legislative Reforms

Foreign exchange market in India started three decades ago when in 1978 the government allowed banks to trade foreign exchange with one another. Today over 70% of the trading in foreign exchange continues to take place in the inter-bank market. The market consists of over 90 Authorized Dealers (mostly banks) who transact currency among themselves and come out “square” or without exposure at the end of the trading day. Trading is regulated by the Foreign Exchange Dealers Association of India (FEDAI), a self-regulatory association of dealers. Since 2001, clearing and settlement functions in the foreign exchange market are largely carried out by the Clearing Corporation of India Limited (CCIL) that handles transactions of approximately 3.5 billion US dollars a day, about 80% of the total transactions. This paper is divided in to four sections section one deals with the introduction of the study along with the exchange rate systems, section two tries to explain the trends in the Indian foreign exchange market whereas section three explains the features of the different components of the foreign exchange markets, section four assess and analyse the regulations and the role played by the forward market commission in Indi till its merger. The Financial Sector Legislative Reforms Commission (FSLRC) had earlier stressed on the need to move away from sector-wise regulation. It proposed a system in which RBI would regulate the banking and payments system, and a Unified Financial Agency (UFA) would subsume all other financial sector regulators such as SEBI, IRDA, PFRDA and FMC, to regulate the rest of the financial markets, which results in the merger of the FMC with SEBI. Hence section four focuses on the recent merger of this organisation with SEBI.

scholarly journals The Efficiency of Foreign Exchange Markets in Pakistan: An Empirical Analysis

2014 ◽  
Vol 19 (1) ◽  
pp. 133-149 ◽  
Author(s):  
Rizwana Bashir ◽  
Rabia Shakir ◽  
Badar Ashfaq ◽  
Atif Hassan
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Emerging Economies ◽  
Foreign Exchange Market ◽  
Empirical Relationship ◽  
Exchange Market ◽  
Monthly Data ◽  
Market Inefficiency ◽  
Policy Work ◽  
Exchange Markets

This study investigates the empirical relationship between spot and forward exchange rate efficiency with reference to Pakistan and the efficiency of its foreign exchange market. We use monthly data from the State Bank of Pakistan and KIBOR rates for the period July 2006 to December 2013. Our results indicate that the forward exchange rate does not fully reflect all the information available. Market players may gain the benefits of volatility speculation due to market inefficiency. Pakistan’s foreign exchange market is still small compared to those of other emerging economies, implying that substantial policy work is required.

scholarly journals SPECULATIONS ON THE FOREIGN EXCHANGE MARKET OF UKRAINE

2021 ◽  
Vol 2021 (2) ◽  
Author(s):  
D. Bychenko
Keyword(s):  
Interest Rates ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Market Development ◽  
Exchange Market ◽  
Positive Side ◽  
Exchange Markets ◽  
The Difference ◽  
The Moment ◽  
The Impact

The foreign exchange market gives a great impetus to economic development and is one of the most critical parts of the financial market. The global daily turnover in the foreign exchange markets (FOREX) has exceeded USD 6.7 billion. At the same time, speculation in the markets gives a qualitative impetus to its development. Of course, it can partially destabilize the situation with quotations due to their ignorance, but in most cases, it is also helpful for the general state of the market. These concepts were studied by the founder of modern economics - J. Keynes, and foreign scientists M. Poyarliev and J. Levych, and Ukrainian scientists also did not bypass this issue. They considered more the peculiarities of the development of the foreign exchange market of Ukraine and the basics of its regulation. Furthermore, only a few considered the process of hedging currency risks and, in part, speculation. The primary purpose of this article is to study the role of speculation in the foreign exchange market of Ukraine and assess their impact on the foreign exchange market development in recent years. We have achieved this goal, namely to consider the main trends of the foreign exchange market in the last three years. On the positive side, Ukraine has already moved away from maintaining the exchange rate, and the NBU is trying to accumulate certain reserves. It is not easy to trace the positive dynamics in the foreign exchange market development due to the impact of pandemic-related lockdowns. There is a noticeable tendency in the market to devalue the Ukrainian hryvnia. We will also consider the types of traders and their main strategies. Pay special attention to care trade and momentum as the most profitable in the foreign exchange market. The core trade is based on the investor's desire to benefit from the difference in interest rates on different currencies, taking into account the risks. The moment is already based on technical analysis from the trader to decide to invest. This study will be helpful for both students and researchers studying financial markets, especially the foreign exchange market. Perhaps ordinary citizens of Ukraine will take it into account and expand their knowledge in the field of investment and trading in currency pairs because a similar article that would it did not concern the Ukrainian market, which is the value of this work.

scholarly journals MARKET EFFICIENCY IN ITS WEAK FORM: THE PRE-COVID AND COVID INDONESIA ANALYSIS

2021 ◽  
Author(s):  
Rui Dias ◽  
◽  
Paula Heliodoro ◽  
Paulo Alexandre ◽  
Hortense Santos ◽  
...  
Keyword(s):  
Exchange Rates ◽  
Foreign Exchange Market ◽  
Weak Form ◽  
Portfolio Diversification ◽  
Exchange Market ◽  
Additional Risk ◽  
Random Walk Hypothesis ◽  
Global Pandemic ◽  
Diversification Strategies ◽  
Exchange Markets

This essay aims to analyze the efficiency, in its weak form, in the Exchange Markets IDR/MYR (Indonesia-Malaysia), IDR/PHP (Indonesia-Philippines), IDR/SGD (Indonesia-Singapore), IDR/THB (Indonesia-Thailand), IDR/GBP (Indonesia-UK), IDR/US (Indonesia-USA), IDR/EUR (Indonesia-Euro Zone/Europe). The sample comprises the period from September 3, 2018, to October 20, 2020, and the sample was partitioned into two subperiods: Pre-Covid and Covid. To carry out this analysis, different approaches were undertaken to assess whether: (i) the global pandemic promoted in(efficiency) in the exchange rates of Indonesia vs Malaysia, Philippines, Singapore, Thailand, UK, USA, Eurozone? The results suggest that in the Pre-Covid subperiod we can see that the random walk hypothesis is rejected, IDR/MYR (0.61), IDR/SGD (0.60), IDR/US (0.59), IDR/THB (0.56), IDR/EUR (0.55), IDR/GBP (0.54), except for the IDR/PHP pair (0.45) which evidences anti persistence. Already in the Covid period, we noticed that persistence increased significantly, like followed, IDR/EUR (0.82), IDR/PHP (0.81) IDR/SGD (0.80), IDR/US (0.80), IDR/MYR (0.78), IDR/THB (0.71), IDR/GBP (0.62). These findings show high levels of arbitrage, i.e., investors will be able to obtain abnormal profitability without incurring the additional risk, which could jeopardize the implementation of efficient portfolio diversification strategies due to market imbalance. The authors believe that these findings can help policymakers formulate a comprehensive response to improve the efficiency of the foreign exchange market during a global pandemic event.

Hijri calendar effect in Borsa Istanbul gold market and Turkey’s foreign exchange market

2019 ◽  
Vol 10 (4) ◽  
pp. 580-590
Author(s):  
Nasif Ozkan
Keyword(s):  
Foreign Exchange ◽  
Regression Models ◽  
Design Methodology ◽  
Foreign Exchange Market ◽  
Exchange Market ◽  
Content Type ◽  
Dummy Variable ◽  
Market Index ◽  
Gold Market ◽  
Exchange Markets

Purpose This study aims to investigate the Hijri calendar effect in Borsa Istanbul (BIST) precious metal market and foreign exchange market (Dollar and Euro market) of Turkey. Design/methodology/approach The data of BIST gold market index and foreign exchange market are used for the period of 4 March 2003-30 September 2016 (1 Muharram 1424 – 28 Dhu al-Hijja 1437) in the study. These data are analyzed by using the dummy variable regression model and Kruskal–Wallis (KW) test. Findings The results of the regression models and KW test indicate that there is a Ramadan effect in the gold market and after-Ramadan effect in the Euro market. On the other hand, the Hijri month effect does not exist in the Dollar market. Originality/value This is the first paper that investigates the Hijri calendar effect in gold and foreign exchange markets of Turkey other than the stock market.

Sign in / Sign up

Export Citation Format

Share Document