The Foreign Exchange Market: Empirical Studies with High-Frequency Data

ISBN-13: 9780333630839 / Angielski / Twarda / 2000 / 562 str.

C. Goodhart; R. Payne

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Acknowledgements Notes on the Contributors Introduction PART I: ANALYSIS OF FOREIGN EXCHANGE RATE The Foreign Exchange Market: A Random Walk with a Dragging Anchor Does the Forward Premium/Discount Help to Predict the Future Change in the Exchange Rate?; P.McMahon & Y.Ngama Why Does the Spot-Forward Discount Fail to Predict Changes in Future Spot Rates?; P.McMahon & Y.Ngama PART II: DESCRIPTION OF THE INTRA-DAY FOREIGN EXCHANGE MARKET 'Reuters' Screen Images of the Foreign Exchange Market: The Yen/Dollar and Sterling/Dollar Spot Market; A.Demos 'News' and the Foreign Exchange Market PART III: MEASUREMENT OF MARKET MOVEMENTS USING INTRA-DAY EXCHANGE RATE DATA From Hour to Hour in the Foreign Exchange Market; M.Guigale Some Evidence on Daily Trading in the London Foreign Exchange Market; M.Giugale Every Minute Counts in Financial Markets; L.Figiuoli The Geographical Location of the Foreign Exchange Market: A Test of an 'Islands' Hypothesis; L.Figiuoli News Effects in a High-frequency Model of the Sterling/Dollar Exchange Rate; S.Hall, S.Henry & B.Pesaran Central Bank Forex Intervention Assessed in Continuous Time; T.Hesse Testing for Unit-roots with Very High-Frequency Spot Exchange Rate Data; P.McMahon & Y.Ngama The Interaction Between the Frequency of Market Quotations, Spreads and Volatility in the Foreign Exchange Market; A.Demos PART IV: TECHNICAL ANALYSIS Chartism: A Controlled Experiment; R.Curcio Do Technical Trading Rules Generate Profits? Evidence from the Intra-Day Foreign Exchange Market; R.Curcio, D.Guillaume & R.Payne PART V: INTRA-DAY EXCHANGE RATE MOVEMENTS AND TRANSACTIONS DATA One Day in June 1993: A Study of the Working of Reuters 2000-2 Electronic Foreign Exchange Trading System; R.Payne & T.Ito Microstructural Dynamics in a Foreign Exchange Electronic Broking System; R.Payne PART VI: WHERE WE STAND High-Frequency Data in Financial Market: Issues and Applications; M.O'Hara Conclusions and Directions for Future Research Index

O autorze

CHARLES GOODHART is the Norman Sosnow Professor of Banking and Finance at the London School of Economics. In 1997 he was appointed one of the outside independent members of the Bank of England's new Monetary Policy Committee. Besides numerous articles, he has written two books on monetary history, and a graduate monetary textbook, Money, Information and Uncertainty. He has also published two collections of papers on monetary policy, Monetary Theory and Practice (1984) The Central Bank and The Financial System (1995), and an institutional study of The Evolution of Central Banks (1988).

RICHARD PAYNE is a Lecturer in Finance in the Department of Accounting and Finance at the London School of Economics and Political Science. He completed a PhD in Economics at the LSE in 1998. His research interests include financial econometrics, empirical market microstructure and international finance.