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This paper contributes empirically to our understanding of informed traders. It analyzes traders’ characteristics in a foreign exchange electronic limit order market via anonymous trader identities. We use six indicators of informed trading in a cross-sectional multivariate approach to identify traders with high price impact. More information is conveyed by those traders’ trades which—simultaneously—use medium-sized orders (practice stealth trading), have large trading volume, are located in a financial center, trade early in the trading session, at times of wide spreads and when the order book is thin. 相似文献
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Die Eurozone ist vor allem durch die gef?hrdete Kreditwürdigkeit Griechenlands in eine schwere Krise geraten. Jetzt zeigt
sich, dass jede W?hrungsunion ein Konstruktionsproblem hat. Die Mitgliedstaaten müssen auf die Autonomie in der Geldpolitik
verzichten und ohne die Instrumente der Geld- und Wechselkurspolitik ihre internationale Wettbewerbsf?higkeit bewahren. 相似文献
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At their London summit in April 2009 the G20 proposed major changes in the governance of the International Monetary Fund (IMF):
a reallocation of voting shares to emerging and developing countries, an antedated reform of the quota system, a delinking
of the managing director’s election from regional origin and support for the Singapore quota and voice reform of 2006. Unfortunately,
these reform proposals remain in part imprecise, they leave crucial issues untouched and they have so far not been implemented. 相似文献
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How is it possible that exchange rates move in the long run towards fundamentals, while professionals form consistently irrational exchange rate expectations? We look at this puzzle from a different perspective by analyzing investor sentiment in the US-dollar market. First, long-horizon regressions show that investor sentiment is connected with exchange rate returns at longer horizons, i.e. more than two years. Second, sentiment is cointegrated with fundamentals, whereas third, this relation becomes stronger, the larger exchange rate's misalignment from long-run PPP. In sum, investor sentiment's behavior in the US-dollar market closely matches with established facts of empirical exchange rate research. 相似文献
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A questionnaire survey has found that most fund managers rely on the strategies of buy-&-hold, momentum and contrarian trading. These strategies are typically applied mutually. Their use is rooted in the attributes and beliefs of the respective fund managers: buy-&-hold traders are fundamentally oriented, risk averse and are less (over)confident than others. Momentum traders appear as the least risk-averse professionals, going aggressively with the trend. Contrarian traders, however, show signs of overconfidence and peculiar risk aversion, both indicating difficulties in successful strategy implementation. The behavioural patterns revealed are not easily reconciled with efficient markets. 相似文献
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We provide a broad empirical investigation of momentum strategies in the foreign exchange market. We find a significant cross-sectional spread in excess returns of up to 10% per annum (p.a.) between past winner and loser currencies. This spread in excess returns is not explained by traditional risk factors, it is partially explained by transaction costs and shows behavior consistent with investor under- and overreaction. Moreover, cross-sectional currency momentum has very different properties from the widely studied carry trade and is not highly correlated with returns of benchmark technical trading rules. However, there seem to be very effective limits to arbitrage that prevent momentum returns from being easily exploitable in currency markets. 相似文献
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Wirtschaftsdienst - Der antizyklische Eigenkapitalpuffer, dessen Anforderung Kreditinstitute erfüllen müssen, soll die Widerstandskraft des Bankensystems stärken und dadurch die... 相似文献
10.
Bernd Kempa Helmut Reisen Hansjörg Herr Lukas Menkhoff Friedrich Thieβen Tommy Jehmlich 《Wirtschaftsdienst》2018,98(10):691-710
The importance of the industrialized countries – including the USA – for world production has been declining for a long time. By contrast, China’s share in particular has increased significantly. Nevertheless, the US dollar has largely fulfilled the criteria for a leading currency function so far, even if this is increasingly criticised due to the protectionist rhetoric of the US. Accordingly, central banks worldwide hold their reserves primarily in US dollars and transactions are largely conducted in US currency. This position brings great advantages–such as making it easier for the US to monitor and enforce sanctions, among other things–and therefore great incentives for the US to maintain its position as the leading currency. Whether other currencies, especially the renminbi, will be able to fulfil the lead currency function is questionable. Similarly, it does not seem realistic that market participants will be able to engage in a global currency. 相似文献