| Evidence on the contrarian trading in foreign exchange markets | |
|---|---|
| 學年 | 98 |
| 學期 | 1 |
| 出版（發表）日期 | 2009-11-01 |
| 作品名稱 | Evidence on the contrarian trading in foreign exchange markets |
| 作品名稱（其他語言） | |
| 著者 | Wan, Jer-Yuh; Kao, Chung-Wei |
| 單位 | 淡江大學經濟學系 |
| 出版者 | Amsterdam: Elsevier BV * North-Holland |
| 著錄名稱、卷期、頁數 | Economic Modelling 26(6), pp. 1420-1430 |
| 摘要 | This paper investigates the existence and price impacts of contrarian behavior in the foreign exchange markets. By utilizing a nonlinear behavioral model where the chartists and fundamentalists coexist, evidence obtained from two sample periods significantly supports the existence of contrarian trading in the British pound, the Japanese yen and the German mark markets. The contrarian trading can only partially offset the price impacts of trend-followers, therefore the price impact of the chartists as a whole is destabilizing. The ability that the contrarians can counterbalance the extrapolation of the trend-followers differs across markets. Traders in the BP market have the highest tendency to contrarian strategy, which in turn contributes to the least deviations of the BP exchange rates departing from its PPP fundamentals. The fundamentalists' confidence in trade fades during large misalignments, which make the mean reversion function of the fundamentalists weak under the circumstances. We find the magnitudes of interventions will be affected by the price impacts of contrarians and their abilities on market stabilization. |
| 關鍵字 | Exchange rates;Contrarian strategy;Heterogeneous agents;Nonlinearity;STAR–GARCH model |
| 語言 | en |
| ISSN | 0264-9993 |
| 期刊性質 | 國外 |
| 收錄於 | SSCI |
| 產學合作 | |
| 通訊作者 | Wan, Jer-Yuh |
| 審稿制度 | |
| 國別 | NLD |
| 公開徵稿 | |
| 出版型式 | 紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/66338 ) |
GoogleAnalytics