Créer un compte gratuit
Rejoignez Calaméo pour publier et partager vos documents !
Notez et commentez vos publications favorites, téléchargez des documents, partagez vos lectures avec vos amis.
Finance | Derivatives | Nonlinearity And The Forward Premium Anomaly
16 pages
Publié par
mialiravina
Copyright :
Tous droits réservés
Journal of Business & Economics Research – July 2008 Volume 6, Number 7
113
Nonlinearity And The Forward
Premium Anomaly
Apostolos Xanthopoulos, Illinois Institute Of Technology
ABSTRACT
Speculative efficiency (the ability to...
[Plus]
Journal of Business & Economics Research – July 2008 Volume 6, Number 7
113
Nonlinearity And The Forward
Premium Anomaly
Apostolos Xanthopoulos, Illinois Institute Of Technology
ABSTRACT
Speculative efficiency (the ability to profit without bearing commensurate risk in foreign exchange
markets) is predicated on the forward premium anomaly.
Market efficiency still manifests itself in
the form of nonlinear adjustments, eroding excess profits.
The returns on foreign exchange
speculation may not behave in a market-efficient manner except at average values of interest-rate
differentials.
This study suggests that market efficiency holds as a result of a hedging relation
between linear and nonlinear responses of returns.
Keywords: Efficient-market hypothesis, speculative returns, hyperbolic-tangent response, hedging.
1 INTRODUCTION
mpirical evidence that contradicts anticipated economic relationships lead researchers to the exploration
of nonlinear systems.
Returns
[Moins]
Tags
differentials,
efficiency,
efficient,
forward,
hypothesis,
interest,
journal,
linear,
market,
model,
nonlinear,
number,
premium,
rate,
rates,
relation,
returns
