研究生: |
李律 Bentley, Joshua |
---|---|
論文名稱: |
Is the Foreign Exchange Market Efficient? A Study of Weekend Price Gaps Is the Foreign Exchange Market Efficient? A Study of Weekend Price Gaps |
指導教授: |
張紹基
Chang, Shao-Chi |
學位類別: |
碩士 Master |
系所名稱: |
管理學院 - 國際經營管理研究所碩士班 Institute of International Management (IIMBA--Master) |
論文出版年: | 2011 |
畢業學年度: | 99 |
語文別: | 英文 |
論文頁數: | 277 |
外文關鍵詞: | Forex, Fx, Spot Foreign Exchange, Technical Trading, Weekend Price Gaps, Price Change, Price Reversals, Price Patterns, Market Behavior, Market Open Phenomenon, Abnormal Returns, Excessive Returns, Market Efficiency, Market Inefficiency |
相關次數: | 點閱:120 下載:1 |
分享至: |
查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
The foreign exchange market is by far the largest and most truly global market in the world with an incredibly diverse pool of market participants and trading not limited to any single exchange or governmental/regulatory jurisdiction. The scale and characteristics of the foreign exchange market make it the market of the world which, according to assumptions of efficient market theory, should be the most efficient market in the world. This paper seeks to question market efficiency in the foreign exchange market through a focus on the non-interbank spot foreign exchange segment of the market.
Of total daily foreign exchange market activity, spot transactions represent over one-third of all transactions within the global foreign exchange market, with spot turnover reaching $1.5 trillion daily in April 2010 (Kleist, Mallo, Grouchko, & Mesny, 2010). Non-interbank spot trading contributes the largest portion of trading volume to overall spot foreign exchange turnover; however, the non-interbank foreign exchange market remains largely unexplored by academic research. This paper therefore fills a significant void in the literature in approaching the non-interbank spot foreign exchange market focusing upon the question of market efficiency through exploration and analysis of a market phenomenon that to the author's knowledge has not been explored by academic research previous to this paper.
Specifically, this paper explores market efficiency through examination of patterns of temporary short-term price reversals occurring during the opening hours of the market following the occurrence of weekend price gaps. This paper pursues three primary objectives: 1) to document the phenomena and its characteristics; 2) to examine theories through literature review which may offer possible explanation of how and why the phenomena occur; and 3) to demonstrate the potential to realize abnormal returns in the non-interbank spot foreign exchange market with a simple technical strategy for trading short-term price reversals during the opening hours of the market following the occurrence of weekend price gaps, thereby providing evidence of market inefficiency.
Advanced Currency Markets SA. (2011). New to forex. 2011, from http://www.ac-markets.com/forex-education/forex.aspx
Bask, M., & Fidrmuc, J. (2009). Fundamentals and technical trading: Behavior of exchange rates in the CEECs. Open Economies Review, 20(5), 589-605.
Bickford, J. L. (2008). Forex shockwave analysis. New York: McGraw-Hill.
Bjønnes, G. H., & Rime, D. (2005). Dealer behavior and trading systems in foreign exchange markets. Journal of Financial Economics, 75(3), 571-605.
Blake, D., Beenstock, M., & Brasse, V. (1986). The performance of UK exchange rate forecasters. Economic Journal, 96(384), 986-999.
Central Intelligence Agency. (2011). The world factbook. 2011, from https://www.cia.gov/library/publications/the-world-factbook/fields/2195.html
Charlebois, M., & Sapp, S. (2007). Temporal patterns in foreign exchange returns and options. Journal of Money, Credit and Banking, 39(2/3), 443-470.
Cross, S. Y. (1998). All about... the foreign exchange market in the United States. New York: Federal Reserve Bank of New York.
Demos, A. A., & Goodhart, C. A. E. (1996). The interaction between the frequency of market quotations, spread and volatility in the foreign exchange market. Applied Economics, 28(3), 377-386.
Derviz, A. (2003). Forex microstructure, invisible price determinants, and the central bank’s understanding of exchange rate formation. Retrieved. from http://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/wp6-2003.pdf.
Financial Web. (2011). The forex market hours. 2011, from http://www.finweb.com/investing/the-forex-market-hours.html
Forexmarkethours.com. (2010). GMT and EST hours for trading forex. 2010, from http://www.forexmarkethours.com/GMT_hours/02/
Fung, A. K.-W., Mok, D. M. Y., & Lam, K. (2000). Intraday price reversals for index futures in the US and Hong Kong. Journal of Banking & Finance, 24(7), 1179-1201.
Gain Capital Group LLC. (2011). Introduction to the forex market. 2011, from http://www.forex.com/intro-forex-market.html
Galati, G., & Heath, A. (2007). What drives the growth in fx activity? Interpreting the 2007 triennial survey. BIS Quarterly Review, 9.
Galati, G., & Melvin, M. (2004). Why has fx trading surged? Explaining the 2004 triennial survey. BIS Quarterly Review, 8.
Gehrig, T., & Menkhoff, L. (2004). The use of flow analysis in foreign exchange: exploratory evidence. Journal of International Money and Finance, 23(4), 573-594.
Global Futures & Forex Ltd.. (2010). Let's get to know forex--an introduction to trading currencies, a GFT educational guide. 2010, from http://www.gft.com.au/assets/documents/Free-Guides/AU_Lets-Get-to-Know-Forex.pdf
124
GO Markets Pty Ltd. (2008). Basic forex theories. 2011, from http://www.gomarketsaus.com/free-forex-education/basic-forex-theories/
Grant, J. L., Wolf, A., & Yu, S. (2005). Intraday price reversals in the US stock index futures market: A 15-year study. Journal of Banking and Finance, 29(5), 1311-1327.
Hartmann, P. (1998). Do Reuters spreads reflect currencies' differences in global trading activity? Journal of International Money and Finance, 17(5), 757-784.
Huang, R. D., & Masulis, R. W. (1999). Fx spreads and dealer competition across the 24-hour trading day. Review of Financial Studies, 12(1).
Investopedia ULC. (2010). Forex market hours. 2011, from http://www.investopedia.com/terms/forex/f/forex-market-trading-hours.asp
Ito, T., & Hashimoto, Y. (2006). Intraday seasonality in activities of the foreign exchange markets: Evidence from the electronic broking system. Journal of the Japanese and International Economies, 20(4), 637-664.
Jeanne, O., & Rose, A. K. (2002). Noise trading and exchange rate regimes. The Quarterly Journal of Economics, 117(2), 537-569.
King, M. R., & Rime, D. (2010). The $4 Trillion Question: What Explains FX Growth Since the 2007 Survey? BIS Quarterly Review(December).
Kleist, K. v., Mallo, C., Grouchko, S., & Mesny, P. (2010). Foreign exchange and derivatives market activity in April 2010. Triennial Central Bank Survey, 27.
Kleist, K. v., Mallo, C., Mesny, P., & Grouchko, S. (2010). Report on global foreign exchange market activity in 2010. Triennial Central Bank Survey(December), 95.
Levich, R. M. (1989). Is the foreign exchange market efficient? The Oxford Review of Economic Policy Limited, 5(3), 21.
Liu, H.-C. (2009). Timing of price clustering and trader behavior in the foreign exchange market: Evidence from Taiwan. Journal of Economics and Finance, 1-13.
Lyons, R. K. (2002). The future of the foreign exchange market. Brookings-Wharton Papers on Financial Services, 2002.
Masry, S., Aloud, M., Tsang, E., Dupuis, A., & Olsen, R. (2010, 8-9 September). A novel approach for studying the high-frequency FOREX market. Paper presented at the Computer Science and Electronic Engineering Conference (CEEC), 2010 2nd.
Menkhoff, L., & Schmeling, M. (2010). Trader see, trader do: How do (small) fx traders react to large counterparties' trades? Journal of International Money and Finance, 29(7), 1283-1302.
Neely, C. J., Weller, P. A., & Ulrich, J. M. (2009). The adaptive markets hypothesis: Evidence from the foreign exchange market. Journal of Financial and Quantitative Analysis, 44(02), 467-488.
OANDA Corporation. (2010a). Fxtrade forex trading account features. 2011, from http://fxtrade.oanda.com/trade-forex/fxtrade/
OANDA Corporation. (2010b). Recent Oanda spreads. 2010, from http://fxtrade.oanda.com/why/spreads/recent
Okunev, J., & White, D. (2003). Do momentum-based strategies still work in foreign currency markets? The Journal of Financial and Quantitative Analysis, 38(2), 425-447.
Osler, C. (2005). Stop-loss orders and price cascades in currency markets. Journal of International Money and Finance, 24(2), 219-241.
125
Osler, C. (2011). Market microstructure, foreign exchange. In R. A. Meyers (Ed.), Complex systems in finance and econometrics (pp. 580-614). New York: Springer.
Park, C.-H., & Irwin, S. H. (2007). What do we know about the profitability of technical analysis? Journal of Economic Surveys, 21(4), 786-826.
Pasquariello, P. (2010). Central bank intervention and the intraday process of price formation in the currency markets. Journal of International Money and Finance, 29(6), 1045-1061.
Peiers, B. (1997). Informed traders, intervention, and price leadership: A deeper view of the microstructure of the foreign exchange market. The Journal of Finance, Vol. 52(No. 4), 26.
Schmidt, A. B. (2010). Microstructure and execution strategies in the global spot fx market. In M. Takayasu, T. Watanabe & H. Takayasu (Eds.), Econophysics approaches to large-scale business data and financial crisis (pp. 49-63). Tokyo: Springer.
Serban, A. F. (2010). Combining mean reversion and momentum trading strategies in foreign exchange markets. Journal of Banking and Finance, 34(11), 2720-2727.
Shmilovici, A., Kahiri, Y., Ben-Gal, I., & Hauser, S. (2009). Measuring the efficiency of the intraday forex market with a universal data compression algorithm. Computational Economics, 33(2), 131-154.
Sweeney, R. J. (1986). Beating the foreign exchange market. The Journal of Finance, 41(1), 163-182.
Wikipedia Foundation Inc. (2010). Foreign exchange market. 2010, from http://en.wikipedia.org/wiki/Foreign_exchange_market
Yin-Wong, C., Chinn, M. D., & Marsh, I. W. (2004). How do UK-based foreign exchange dealers think their market operates? International Journal of Finance and Economics, 9(4), 289-306.