From hour to hour in the foreign exchange market
Article Abstract:
The attributes of time series information for asix-month period on the US foreign exchange market was studied in the context of the efficient market theory and "news" drives asset price volatility theory.The hourly data set, the characteristics of the statistics and hourly percentage changes were first described. The cross-correlations, cointegration of the time serices and hourly changes in the exchange rates were then investigated. It was concluded that neither the efficient market theory and the"news" theory could sufficiently account for a short-term comprehension of foreign exchange operations.
Publication Name: The Manchester School of Economic and Social Studies
Subject: Social sciences
ISSN: 0025-2034
Year: 1993
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Continental drift: European integration and the location of U.K. foreign direct investment
Article Abstract:
The European Union (EU) internal market and economic integration in general have been accompanied by an increase in foreign direct investment (FDI). The proportion of UK FDI going to other EU countries has increased, especially since 1986 and the Single European Act. There is also evidence that some investment has been switched from the US to Europe after 1990. More than a third of the additional investment can be accounted for by the financial services industry.
Publication Name: The Manchester School of Economic and Social Studies
Subject: Social sciences
ISSN: 0025-2034
Year: 1997
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Long-memory risk premia in exchange rates
Article Abstract:
An analysis of the time series properties of forecast errors, spot rates and forward premia for a number of currencies in the inter-war and post-war periods of floating exchange rates can provide valuable information about the effectiveness of fractionally integrated models. It has been found that forward premia frequently appear to be well described by fractional processes. This indicates that risk premia follow fractional processes given rational expectations.
Publication Name: The Manchester School of Economic and Social Studies
Subject: Social sciences
ISSN: 0025-2034
Year: 1996
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