Foreign exchange market efficiency under recent crises: Asia-Pacific focus

Journal of International Money and Finance - Tập 31 Số 6 - Trang 1574-1592 - 2012
Rubi Ahmad1, S. Ghon Rhee2, Yuen Meng Wong1
1Faculty of Business and Accountancy, University of Malaya, Kuala Lumpur, 50603, Malaysia
2Shidler College of Business, University of Hawai'i, 2404 Maile Way, Honolulu, HI 96822, USA

Tóm tắt

Từ khóa


Tài liệu tham khảo

Antell, 2007, International asset pricing models and currency risk: evidence from Finland 1970–2004, Journal of Banking and Finance, 31, 2571, 10.1016/j.jbankfin.2006.09.013

Antell, 2012, Pricing currency risk in the stock market: evidence from Finland and Sweden 1970–2009, Journal of International Financial Markets, Instutitons & Money, 22, 120, 10.1016/j.intfin.2011.08.002

Baillie, 1989, Common stochastic trends in a system of exchange rates, The Journal of Finance, 44, 167, 10.1111/j.1540-6261.1989.tb02410.x

Baillie, 2000, The forward premium anomaly is not as bad as you think, Journal of International Money and Finance, 19, 471, 10.1016/S0261-5606(00)00018-8

Bansal, 2000, The forward premium puzzle: different tales from developed and emerging economies, Journal of International Economics, 51, 115, 10.1016/S0022-1996(99)00039-2

Bilson, 1981, The “Speculative efficiency” hypothesis, The Journal of Business, 54, 435, 10.1086/296139

Burnside, 2007, The returns to currency speculation in emerging markets, The American Economic Review, 97, 333, 10.1257/aer.97.2.333

Burnside, 2009, Understanding the forward premium puzzle: a microstructure approach, American Economic Journal-Macroeconomics, 1, 127, 10.1257/mac.1.2.127

Calvo, 2000

Chakraborty, 2008, Can perpetual learning explain the forward-premium puzzle?, Journal of Monetary Economics, 55, 477, 10.1016/j.jmoneco.2008.03.002

Chinn, 2006, The (partial) rehabilitation of interest rate parity in the floating era: longer horizons, alternative expectations, and emerging markets, Journal of International Money and Finance, 25, 7, 10.1016/j.jimonfin.2005.10.003

Chung, 2005, The contagious effects of the Asian financial crisis: some evidence from ADR and country funds, Journal of Multinational Financial Management, 15, 67, 10.1016/j.mulfin.2004.01.001

Clarida, 2009, Currency carry trade regimes: beyond the Fama regression, Journal of International Money and Finance, 28, 1375, 10.1016/j.jimonfin.2009.08.010

Crowder, 1994, Foreign exchange market efficiency and common stochastic trends, Journal of International Money and Finance, 13, 551, 10.1016/0261-5606(94)90004-3

Dickey, 1979, Distribution of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association, 74, 427

Dooley, 2009, Transmission of the U.S. subprime crisis to emerging markets: evidence on the decoupling-recoupling hypothesis, Journal of International Money and Finance, 28, 1331, 10.1016/j.jimonfin.2009.08.004

Engle, 1987, Co-integration and error correction: representation, estimation, and testing, Econometrica, 55, 251, 10.2307/1913236

Fama, 1970, Efficient capital markets: a review of theory and empirical work, The Journal of Finance, 25, 383, 10.2307/2325486

Fama, 1984, Forward and spot exchange rates, Journal of Monetary Economics, 14, 319, 10.1016/0304-3932(84)90046-1

Fama, 1991, Efficient capital markets: II, The Journal of Finance, 46, 1575, 10.1111/j.1540-6261.1991.tb04636.x

Fama, 1998, Market efficiency, long-term returns, and behavioural finance, Journal of Financial Economics, 49, 283, 10.1016/S0304-405X(98)00026-9

Frankel, 2010, The forward market in emerging currencies: less biased than in major currencies, Journal of International Money and Finance, 29, 585, 10.1016/j.jimonfin.2009.11.004

Froot, 1990, Anomalies: foreign exchange, The Journal of Economic Perspectives, 4, 179, 10.1257/jep.4.3.179

Galati, 2007, Evidence of carry trade activity, BIS Quarterly Review, 27

Gilmore, 2008

Gong, 2004, Crisis transmission: some evidence from the Asian financial crisis, International Review of Financial Analysis, 13, 463, 10.1016/j.irfa.2004.02.023

Hansen, 1980, Forward exchange rates as optimal predictors of future spot rates: an econometric analysis, The Journal of Political Economy, 88, 829, 10.1086/260910

Hochradl, 2010, Trading the forward bias: are there limits to speculation?, Journal of International Money and Finance, 29, 423, 10.1016/j.jimonfin.2009.11.003

Jeon, 2003, The impact of the Asian financial crisis on foreign exchange market efficiency: the case of East Asian countries, Pacific-Basin Finance Journal, 11, 509, 10.1016/S0927-538X(03)00052-0

Johansen, 1991, Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models, Econometrica, 59, 1551, 10.2307/2938278

Johansen, 1995, Identifying restrictions of linear equations with applications to simultaneous equations and cointegration, Journal of Econometrics, 69, 111, 10.1016/0304-4076(94)01664-L

Kan, 2007, Examination of the efficient market hypothesis – The case of post-crisis Asia Pacific countries, Journal of Asian Economics, 18, 294, 10.1016/j.asieco.2007.02.003

Kwiatkowski, 1992, Testing the null hypothesis of stationarity against the alternative of a unit-root – How sure are we that economic time-series have a unit-root, Journal of Econometrics, 54, 159, 10.1016/0304-4076(92)90104-Y

Lothian, 2011, Uncovered interest-rate parity over the past two centuries, Journal of International Money and Finance, 30, 448, 10.1016/j.jimonfin.2011.01.005

Ma, 2004, The markets for non-deliverable forwards in Asian currencies, BIS Quarterly Review

Mackinnon, 1999, Numerical distribution functions of likelihood ratio tests for cointegration, Journal of Applied Econometrics, 14, 563, 10.1002/(SICI)1099-1255(199909/10)14:5<563::AID-JAE530>3.0.CO;2-R

Melvin, 2009, The crisis in the foreign exchange market, Journal of International Money and Finance, 28, 1317, 10.1016/j.jimonfin.2009.08.006

Peltomäki, 2008, Emerging market hedge funds and the yen carry trade, Emerging Markets Review, 9, 220, 10.1016/j.ememar.2008.05.001

Phillips, 1988, Testing for a unit root in time series regression, Biometrika, 75, 335, 10.1093/biomet/75.2.335

Pilbeam, 2011, The forward discount puzzle and market efficiency, Annals of Finance, 7, 119, 10.1007/s10436-010-0159-1

Sarno, 2005, Viewpoint: towards a solution to the puzzles in exchange rate economics: where do we stand?, Canadian Journal of Economics-Revue Canadienne D Economique, 38, 673, 10.1111/j.0008-4085.2005.00298.x

Tsuyuguchi, 2008, The evolution of trading activity in Asian foreign exchange markets, Emerging Markets Review, 9, 231, 10.1016/j.ememar.2008.09.002