دانلود رایگان مقاله اثر تقویم: عکس العمل بیش از حد تعطیلات آخر هفته (و عواقب پس از آن) در نرخ FX نقطه

عنوان فارسی
اثر تقویم: عکس العمل بیش از حد تعطیلات آخر هفته (و عواقب پس از آن) در نرخ FX نقطه
عنوان انگلیسی
A calendar effect: Weekend overreaction (and subsequent reversal) in spot FX rates
صفحات مقاله فارسی
0
صفحات مقاله انگلیسی
10
سال انتشار
2016
نشریه
الزویر - Elsevier
فرمت مقاله انگلیسی
PDF
کد محصول
E4354
رشته های مرتبط با این مقاله
مدیریت
مجله
مجله مدیریت مالی چند ملیتی - Journal of Multinational Financial Management
دانشگاه
دانشگاه ساوتهمپتون، انگلستان
کلمات کلیدی
اثر تقویم، واکنش، اثر آخر هفته، ناکارآمدی بازار، نرخ تبدیل
چکیده

abstract


This paper investigates a calendar effect, namely the weekend overreaction, in spot foreign exchange markets of 8 major and 9 emerging currencies. We find that after a large price difference between Friday close and subsequent Monday open, most markets are likely to reverse in multiple horizons during the following week, which is consistent with the overreaction hypothesis. We develop a reversal trading strategy to exploit this effect which we show are robust to transaction costs and interest rates. In the out-of-sample test, the strategy is able to generate abnormal risk-adjusted returns, which suggests that these currency markets might be weak-form inefficient.

نتیجه گیری

5. Conclusion


We find a calendar effect, namely the weekend overreaction, in spot FX rates of 7 major and 9 emerging currency pairs, evidenced by reversals in multiple horizons during the week after large weekend gaps. A contrarian strategy is designed to exploit this effect. In the out-of-sample trading test, the strategy is able to generate abnormal risk-adjusted returns after including transaction costs and interest rates, which suggests the possibility of weak-form inefficiency in these currency markets.


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