Empirical studies on covered interest arbitrage suggest that the interest rate parity condition does not always hold during times of turbulence in the foreign exchange markets, implying market inefficiency. This paper considers two different approaches [Taylor (1989) and Clinton (1988)] to measuring deviations from interest rate parity for a period of turbulence in the foreign exchange markets ...

The paper clarified how actual expert dealers made profits and reduced the risk of loss in a virtual foreign exchange market, by comparing the way novice or general investors showed. As a result, we could find that the experts were riskaverse for losses and risk-seeking for profits while the novices showed the opposite behavioral tendency. This result was analyzed in terms of the prospect theor...

The relation between the volatilities of pricing kernels associated with different currencies and the volatility of the exchange rate between the currencies is derived under the assumption of integrated capital markets, and the volatilities of the pricing kernels are related to the foreign exchange risk premium. Time series of pricing kernel volatilities are estimated from panel data on bond yi...

Our society has been computerised and globalised due to emergence and spread of information and communications technology (ICT). This enables us to investigate our own socio-economic systems based on large amounts of data on human activities. In this article, methods of treating complexity arising from a vast amount of data, and linking data from different sources, are discussed. Furthermore, s...

The effects of a Tobin tax on foreign exchange markets have long been disputed. We present an experiment with currency trading on two markets, where either none, one, or both markets are taxed. Our results confirm the hitherto undisputed issues: a tax reduces trading volume, shifts market share to untaxed markets, and leads to negligible tax revenues if tax havens exist. Concerning the controve...

Tanning industry is one of the important export oriented industries in Bangladesh. Its performances have been evaluated by using six dimensions: capacity utilization, progressiveness of the firm, share of foreign exchange earnings, amount of revenue earned, job opportunities and image of its products in the international market. Performance has been improving over time but not yet satisfactory....

Unlike conditional volatility that has been investigated intensively, conditional correlations between financial assets have received only little attention in literature. Researchers have, for so long, focused mainly on estimating returns and risk, and have assumed that the correlations are constant and have therefore paid less attention on them. However, recent studies uncover that such correl...

Microstructure models of foreign exchange markets emphasize two different channels of pressure in pricing dynamics; these are inventory and asymmetric information effects. Past empirical studies for foreign exchange markets have found evidence supporting the existence of both effects in the Dollar/DM market. This paper tests for the presence of within sample variation in the intensity of these ...

Inspector, an expert system, was implemented to assist foreign exchange management in the monitoring of trader activity and the compliance of risk management policies. The knowledge of senior foreign exchange managers, traders, controllers, and auditors is contained in an expert system shell, Nexpert Object. The foreign exchange deals from all Manufacturer's Hanover Trust (MHT) branches are rec...