The Foreign Exchange Market Empirical Studies with High-Frequency Data [Hardcover]

This book brings together a number of research studies, all of which examine the behaviour of foreign exchange rates. The main focus of the collection is on empirical characterisation of high-frequency exchange rate data. The pioneering studies demonstrate and explain, amongst other things, the regular patterns in intra-day foreign exchange rate activity, the effects of macroeconomic news of rates and analyse the profitability of technical trading rules in these markets. The collection will be of use to students, academics and practitioners who are interested in exchange rate dynamics.Acknowledgements Notes on the Contributors Introduction PART I: ANALYSIS OF FOREIGN EXCHANGE RATE The Foreign Exchange Market: A Random Walk with a Dragging Anchor Does the Forward Premium/Discount Help to Predict the Future Change in the Exchange Rate?; P.McMahon & Y.Ngama Why Does the Spot-Forward Discount Fail to Predict Changes in Future Spot Rates?; P.McMahon & Y.Ngama PART II: DESCRIPTION OF THE INTRA-DAY FOREIGN EXCHANGE MARKET 'Reuters' Screen Images of the Foreign Exchange Market: The Yen/Dollar and Sterling/Dollar Spot Market; A.Demos 'News' and the Foreign Exchange Market PART III: MEASUREMENT OF MARKET MOVEMENTS USING INTRA-DAY EXCHANGE RATE DATA From Hour to Hour in the Foreign Exchange Market; M.Guigale Some Evidence on Daily Trading in the London Foreign Exchange Market; M.Giugale Every Minute Counts in Financial Markets; L.Figiuoli The Geographical Location of the Foreign Exchange Market: A Test of an 'Islands' Hypothesis; L.Figiuoli News Effects in a High-frequency Model of the Sterling/Dollar Exchange Rate; S.Hall, S.Henry & B.Pesaran Central Bank Forex Intervention Assessed in Continuous Time; T.Hesse Testing for Unit-roots with Very High-Frequency Spot Exchange Rate Data; P.McMahon & Y.Ngama The Interaction Between the Frequency of Market Quotations, Spreads and Volatility in the Foreign Exchange Market; A.Demos PART IV: TECHNICAL ANALYSIS Chartism: lsH