The Frequency of One-Day Abnormal Returns and Price Fluctuations in the FOREX

Arbeitspapier

This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses are tested: their frequency is a significant driver of price movements (H1); it does not exhibit seasonal patterns (H2); it is stable over time (H3). For our purposes a variety of statistical methods (both parametric and non-parametric) are applied including ADF tests, Granger causality tests, correlation analysis, (multiple) regression analysis, Probit and Logit regression models. No evidence is found of either seasonal patterns or instability. However, there appears to be a strong positive (negative) relationship between returns in the FOREX and the frequency of positive (negative) abnormal returns. On the whole, the results suggest that the latter is an important driver of price dynamics in the FOREX, is informative about crises and can be the basis of profitable trading strategies, which is inconsistent with market efficiency.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: CESifo Working Paper ; No. 8196

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Asset Pricing; Trading Volume; Bond Interest Rates ; Financial Forecasting and Simulation ; Computational Techniques; Simulation Modeling
• Thema: FOREX ; anomalies ; price dynamics ; frequency of abnormal returns

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Caporale, Guglielmo Maria ; Plastun, Alex ; Oliinyk, Viktor
• Ereignis: Veröffentlichung
• (wer): Center for Economic Studies and ifo Institute (CESifo)
• (wo): Munich
• (wann): 2020

Weitere Informationen

• Handle: http://hdl.handle.net/10419/216592
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ