از بین هزاران مقاله ما جستجو کنید...
The spot foreign exchange (FX) market is an around-the-clock, around-the-globe, decentralized, multiple-dealer market characterized by an enormous trading volume (an average of $1.5 trillion of FX traded according to Lyons, 2001).
Currency Crises Using daily data for the period of Asian \Currency Crises, this paper examines high – frequency contagious effects among Asian six countries. In this paper, w e distinguishes “origin” (o f exchange rate depreciation, o r decline in stock prices) and “affected” (currencies, o r stock prices) in a sense that the origin […]
Tests against the null of linearity indicate smooth transition autoregressive nonlinearities in the conditional mean of intra-day UK long gilt futures returns at the five and fifteen minute frequencies. The higher frequency model entails a first-order autoregressive process with switching intercept. The lower frequency model is first-order autoregressive for returns near zero, but a near […]
This paper tests for market efficiency at high-frequencies of the Indian equity markets. Wedo this by testing the behaviour of serial correlation in firm stock prices using the Variance Ratio test on high frequency returns data. We find that at a frequency interval of five minutes,all the stocks show a pattern of mean-reversion. However, different […]