Re-examining Cointegration, Unit Roots and Efficiency in Foreign Exchange Rates

This paper examines the cointegrating relationships in seven foreign exchange rates for a sample period from 1974 to 1991 by utilizing Johansen's (1991) method. Three subperiods are also examined to confirm the intertemporal stability of the test results. In addition, subgroups of the seven exchange rates are analyzed to determine the consistency of the empirical results with respect to different dimensions in the system. We find that the test results are sensitive to the choice of test statistics, time trends, subperiods as well as subgroups. All results indicate either one or no cointegrating relationship exists. Further, we study time series properties of twenty one cross-currency rates and the corresponding exchange rates in terms of a common currency. None of cross-currency rates are stationary and hence the pairs of exchange rates are not cointegrated.     

Efficiency Tests of the Foreign Currency Options Market

Based on a new options transactions data base from the Philadelphia Stock Exchange Foreign Currency Options Market, this paper examines the importance of the effect of nonsynchronous prices and transaction costs on the usual option market efficiency tests. The tests conducted are based on the transaction cost adjusted early exercise and put-call parity pricing boundaries applicable to the American foreign currency options market. The test results show that the put-call parity boundary tests are sensitive to both nonsynchronous prices and transaction costs. The early exercise boundary tests are sensitive to transaction costs but are not very sensitive to simultaneity of the option price and the underlying spot price. Under the no-transaction costs scenario, a large number of early exercise boundary violations is found even when simultaneous spot and option prices are used. These violations disappear when actual transaction costs are taken into account.     

The Unbiasedness Hypothesis in the Freight Forward Market: Evidence from Cointegration Tests

The current paper investigates the unbiasedness hypothesis of Forward Freight Agreement (FFA) prices in the freight over-the-counter (OTC) forward market trades. Cointegration techniques are employed to examine the hypothesis. The results indicate that: FFA prices one and two months before maturity are unbiased predictors of the realised spot freight rates for all investigated shipping routes; three months FFA prices for panamax Pacific routes are unbiased predictors of spot prices, while FFA prices for panamax Atlantic routes are found to be biased predictors of spot prices. This diverse evidence suggests that the validity of the unbiasedness hypothesis depends on the specific characteristics of the market under investigation, the selected trading route and the time to maturity of the contract. JEL classification G13, G14, C32     

外汇市场的分形分析

首先分析了外汇市场的EMH,指出了其线性范式与现实市场状况并不相符,然后通过实证,指出了外汇汇率变化不服从正态分析,而是服从分形分布;最后运用R/S方法对外汇变化进行了分形分析,提出汇率变化遵循有偏的随机游走,呈现出状态持续性,对外汇市场风险的度量提出了一些新的看法,并提出了几点政策建议。     

Random Walks and Market Efficiency Tests: Evidence from Emerging Equity Markets

We use the multiple variance-ratio test of Chow and Denning (1993) to examine the stochastic properties of local currency- and US dollar-based equity returns in 15 emerging capital markets. The technique is based on the Studentized Maximum Modulus distribution and provides a multiple statistical comparison of variance-ratios, with control of the joint-test's size. We find that the random walk model is consistent with the dynamics of returns in most of the emerging markets analyzed, which contrasts many random walk test results documented with the use of single variance-ratio techniques. Further, a runs test suggests that most of the emerging markets are weak-form efficient. Overall, our results suggest that investors are unlikely to make systematic nonzero profit by using past information in many of the examined markets, thus, investors should predicate their investment strategies on the assumption of random walks. Additionally, our results suggest exchange rate matters in returns' dynamics determination for some of the emerging equity markets we analyzed.     

Stock Market Volatility in an Emerging Market: Further Evidence from the Athens Stock Exchange

We investigate the time series properties of the daily and weekly returns from the Athens Stock Exchange (ASE) index for the years 1987 to 1997. We investigate whether important time-series characteristics have changed significantly over time. The Greek market has recently undergone major changes including complete capital flow liberalization, the implementation of computerized trading, as well as significant increases in market volume and capitalization; we thus contrast the 1987–90 and 1991–97 periods. Our findings suggest the dynamics of the ASE composite index returns have changed as the market has developed.     

The Information Signaling Hypothesis of Dividends: Evidence from Cointegration and Causality Tests

This paper uses cointegration and causality tests to study the temporal behavior of dividends and earnings at the individual firm level. We find that, for a sample of 143 non‐utility firms, approximately one‐fifth of the firms exhibits a temporal relationship between dividends and earnings that is consistent with the information signaling hypothesis of dividends. In the case of 72 utilities, about a third exhibit dividend policies that are consistent with the signaling notion of dividends. Further examination of firm characteristic differences between signaling and non‐signaling firms shows that, in the case of non‐utility firms, signaling firms tend to be smaller, have a lower growth rate of total assets, and have a higher leverage ratio. In the case of utilities, we find no major differences in firm characteristics between signaling and non‐signaling firms.     

潮起潮落看汇市

一波三折 今年年初以来伴随伊拉克战争的酝酿、爆发、结束,美元汇率的走势也随之一波三折.美元走势的急剧变化主要围绕信心、投机、政策三者的交错运用,推高或打压美元策略、技术性凸显.     

提高外汇储备使用效益

近两年,我国外汇储备增长势头强劲,截至今年5月底已达8700多亿美元,跃居全球第一。高额外汇储备是我国经济高速增长的结果,表明了中国经济在世界经济体系中的重要地位,但如果这种势头不断持续下去,也会带来一定的负面影响。因此,作者认为, 进行适度外汇储备量的测算,并采取多项政策放缓外汇储备激增态势,提高外汇储备使用效率,对保证我国经济安全稳定运行,具有重要的意义。     

Cointegration, Efficiency and Forecasting in the Currency Market

Existing literature on using the cointegration approach to examine the efficiency of the foreign exchange market gives mixed results. Arguments typically focus on econometric testing techniques, with fractional cointegration being the most current one. This paper tries to look at the issue from an economic perspective. It shows that the cointegrating relationship, whether cointegrated or fractionally cointegrated, is found mainly among the currencies of the European Monetary System which are set to fluctuate within a given range. Hence, there is no inconsistency with the notion of market efficiency. Yet, exploiting such a cointegrating relationship is helpful in currency forecasting. There is some evidence that restricting the forecasting model to consist of only cointegrated currencies improves forecasting efficiency.     

我国外汇市场展望

作通过对当前我国外汇市场现状的考察，分析了我国外汇市场中存在的主要问题并提出其解决对策，进而对外汇市场的发展前景进行分析预测。     

中国银行间外汇市场的套利机会

对于人民币远期汇率是否满足利率平价,目前国内理论界与实务界还存在一定的分歧。本文任意选取2009年6月1～30日中国银行间外汇市场美元/人民币汇率连续实时的买卖报价等数据,首次对该市场的套利机会进行了测度。研究发现:(1)从抵补套利角度看,国内银行间中短期限(1年以内)的远期汇率定价符合利率平价理论;但因定价基准利率(SHIBOR)未能充分发挥基础利率的功能,致使1年期左右的人民币远期汇率存在潜在抵补套利机会,然而其收益率很低。(2)银行间外汇市场几乎随时都存在收益率可观的单边套利机会。(3)银行有足够的时间进行套利交易。     

股票市场与外汇市场之间的溢出效应:基于汇改后数据的实证分析

本文采用双变量EGARCH模型,实证分析了我国汇改后股市与汇市之间价格和波动的溢出效应,同时还以2008年10月为界将样本分为两个子样本来考察溢出效应是否发生结构变化.研究发现:(1)从整个样本看,存在从汇率变化到股指收益的价格溢出效应,在子样本1中存在从股市到汇市的价格溢出效应;(2)在子样本中存在从汇市到股市的波动溢出,在整体样本及两个子样本中都存在从股市到汇市的波动溢出.本文还分析了实证结果背后的原因,并讨论了相应的政策启示.     

Government Bond Market Seasonality, Diversification, and Cointegration: International Evidence

Using government bond market data for the United States, Canada, the United Kingdom, Germany, France, and Japan, I investigate several hypotheses. Market efficiency is investigated by testing for seasonality and cointegration. The seasonality results are mixed. In regression tests, a January effect is detected in several markets (United States, Germany, France, United Kingdom, and Canada) using local currencies. However, in a nonparametric test, the January effect is supported only for France. When U.S. dollar returns are used, regression results also reveal a January effect for several markets (United States, Germany, France, and United Kingdom). These results are not confirmed by a nonparametric test. Correlation analysis shows considerable diversification opportunities for short‐term investors. Cointegration tests indicate that several of the markets share cointegrating vectors, increasing the possibilities of using other endogenous bond markets to better predict movements in a particular market.     

人民币外汇市场的微观结构

本文分析了人民币外汇市场微观结构的变迁和特征,而且结合外汇市场微观结构理论提出了完善人民币汇率形成机制的具体政策建议.2006年年初,中国在人民币外汇市场引入了做市商制度,人民币外汇市场成为了一个混合型市场,做市商在人民币汇率决定中处于核心地位.但是中国外汇市场以场内市场为主,交易量相对较小,客户结构单一,限制了基本面信息的传递.文中提出了完善人民币外汇市场微观结构的具体政策建议.     

海外交易所衍生产品市场的发展态势及经验借鉴

建立市场监管制度和风险控制体系并在实践中不断加以完善,维持市场创新与风险管控的协调平衡,是推动交易所衍生产品市场健康发展的关键所在.不能因为次贷相关产品出现问题,而对金融衍生产品采取一刀切的简单做法.当前应在严格规范场外衍生产品市场发展的同时,重点发展相对简单、集中监管的交易所衍生产品,如股指期货、国债期货等基础金融衍生产品.     

我国股票市场与外汇市场联动效应研究

随着区域经济一体化进程的推进,汇率波动与金融资产价格之间的联动关系越来越紧密。2014年以来,人民币汇率和我国股票市场出现了较大波动和共振格局,金融市场的波动对金融稳定和宏观调控都带来了较大的挑战。在梳理股票市场与外汇市场联动国际经验的基础上,定性分析二者联动的影响因素,通过格兰杰因果检验和脉冲响应分析量化了股票市场与外汇市场联动的关系,最后得出我国股票市场与外汇市场联动效应存在非对称性的结论。     

Time‐Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers

We examine empirically the volatility of four major US dollar spot exchange rates using intraday data over 40 trading days. Using multivariate stochastic volatility models, we investigate the degree of persistence of exchange rate volatility for data sampled at different frequencies and the role of volatility spillovers across exchange rates. We find that the noise component of volatility 'aggregates out' very quickly, being dominated by the more persistent component of volatility for data sampled at 15–minute or lower frequencies. Our results also suggest that exchange rate volatility is very persistent and that cross–currency spillovers are small.