The Equity Differential Factor in Currency Markets

2019 ◽  
Author(s):  
David Turkington ◽  
Alireza Yazdani
Keyword(s):  
Currency Markets

scholarly journals Forward Rate Bias in Developed and Developing Countries: More Risky Not Less Rational

Econometrics ◽  
2020 ◽  
Vol 8 (4) ◽  
pp. 43
Author(s):  
Michael D. Goldberg ◽  
Olesia Kozlova ◽  
Deniz Ozabaci
Keyword(s):  
Developing Countries ◽  
Forward Rate ◽  
Currency Markets ◽  
Developed Country ◽  
Slope Coefficient ◽  
Break Points ◽  
Time Periods ◽  
The Stability ◽  
Widespread View ◽  
Shed Light

This paper examines the stability of the Bilson–Fama regression for a panel of 55 developed and developing countries. We find multiple break points for nearly every country in our panel. Subperiod estimates of the slope coefficient show a negative bias during some time periods and a positive bias during other time periods in nearly every country. The subperiod biases display two key patterns that shed light on the literature’s linear regression findings. The results point toward the importance of risk in currency markets. We find that risk is greater for developed country markets. The evidence undercuts the widespread view that currency returns are predictable or that developed country markets are less rational.

Do the calendar anomalies still exist? Evidence from Indian currency market

2016 ◽  
Vol 42 (2) ◽  
pp. 136-150 ◽  
Author(s):  
Satish Kumar ◽  
Rajesh Pathak
Keyword(s):  
Least Square ◽  
January Effect ◽  
Currency Markets ◽  
Content Type ◽  
Currency Market ◽  
Before And After ◽  
Calendar Anomalies ◽  
Ordinary Least Square Regression ◽  
The 2008 Financial Crisis ◽  
Using Data

Purpose – The purpose of this paper is to examine the presence of the day-of-the-week (DOW) and January effect in the Indian currency market for selected currency pairs; USD-(Indian rupee) INR, EUR-INR, GBP-INR and JPY-INR, from January, 1999 to December, 2014. Design/methodology/approach – Ordinary least square regression analysis is used to examine the presence of DOW and January effect to test the efficiency of the Indian currency market. The sample period is later divided into two sub-periods, that is, pre- and post-2008 to capture the behavior of returns before and after the 2008 financial crisis. Further, the authors also use the non-parametric technique, the Kruskal-Wallis test, to provide robustness check for the results. Findings – The results indicate that the returns during Monday to Wednesday are positive and higher than the returns on Thursday and Friday which show negative returns. The returns during January are found to be higher than the returns during rest of the year. Further, all currencies exhibit significant DOW and January effects in pre-crisis period, however, post-crisis; these effects disappear for all currencies indicating that the markets have become more efficient in the later time. The findings can be further attributed to the increased intervention in the forex markets by the Reserve Bank of India after the crisis. Practical implications – The results have important implications for both traders and investors. The findings suggest that the investors might not be able to earn excess profits by timing their positions in some particular currencies taking the advantage of DOW or January effect which in turn indicates that the currency markets have become more efficient with time. The results are in conformity with those reported for the developed markets. The results might be appealing to the practitioners as well in a way that they can consider the state of financial market for financial decision making. Originality/value – The authors provide the first study to examine the calendar anomalies (DOW and January effect) across a range of emerging currencies using 16 years of data from January, 1999 to December, 2014. To the best of the authors’ knowledge, no study has yet examined these calendar anomalies in the currency markets using data which covers two important periods, pre-2008 and post-2008.

Time-Varying Dependency and Structural Changes in Currency Markets

2012 ◽  
Vol 48 (2) ◽  
pp. 94-127 ◽  
Author(s):  
Chia-Hsun Hsieh ◽  
Shian-Chang Huang
Keyword(s):  
Structural Changes ◽  
Time Varying ◽  
Currency Markets
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