Price Discovery in Currency Markets: Evidence from Three Emerging Markets
نویسندگان
چکیده
منابع مشابه
Price Bubbles Spillover among Asset Markets: Evidence from Iran
T his paper investigates the existence of possible spillover effects among four main asset markets namely foreign exchange, stock, gold, and housing markets in Iran from 2002:03 to 2015:06. For this purpose, we have exploited Sigma-Point Kalman Filter (SPKF) to extract the bubble component of assets prices in the aforementioned Markets. Then, in order to analyze the price bubbles spi...
متن کاملHedgers, speculators and forward markets: Evidence from currency markets
Since Keynes (1930) and Hicks (1939) propounded their theory of normal backwardation, the issue of whether hedgers must pay speculators an insurance premium has remained controversial. Recent theoretical developments incorporating the existence of market imperfections have validated the existence of an insurance premium charged to hedgers by speculators. Owing to differences in data sets and ec...
متن کاملDo options contribute to price discovery in emerging markets
We examine the informational role of derivatives in price discovery in Taiwan. After controlling for market cycles, moneyness, and liquidity, we use three different methods to measure the information contents in different trading venues. We find that the trades on futures contribute the most to price discovery. The futures transactions, however, are also the most costly in executing information...
متن کاملCurrency Crashes in Emerging Markets: Empirical Indicators
We use a panel of annual data for over one hundred developing countries from 1971 through 1992 to characterize currency crashes. We define a currency crash as a large change of the nominal exchange rate that is also a substantial increase in the rate of change of nominal depreciation. We examine the composition of the debt as well as its level, and a variety of other macroeconomic factors, exte...
متن کاملPrice Discovery in Fragmented Markets
This paper proposes a structural time series model for the intra-day price dynamics on fragmented financial markets. We generalize the structural model of Hasbrouck (1993) to a multi-variate setting. We discuss identification issues and propose a new measure for the contribution of each market to price discovery. We illustrate the model by an empirical example using Nasdaq dealer quotes.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Journal of Economics and Finance
سال: 2012
ISSN: 1916-9728,1916-971X
DOI: 10.5539/ijef.v4n12p61