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Noise trading and autocorrelation interactions in the foreign exchange market: Evidence from developed and emerging economies

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  • Nikiforos Laopodis

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File URL: http://hdl.handle.net/10.1007/s12197-007-9018-y
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Bibliographic Info

Article provided by Springer in its journal Journal of Economics and Finance.

Volume (Year): 32 (2008)
Issue (Month): 3 (July)
Pages: 271-293

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Handle: RePEc:spr:jecfin:v:32:y:2008:i:3:p:271-293

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Web page: http://link.springer.de/link/service/journals/120857/index.htm

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Related research

Keywords: Noise trading; Autocorrelation; GARCH; Asymmetry; Exchange rate; F31; F37; C32;

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References

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  1. Culter, D.M. & Poterba, J.M. & Summers, L.H., 1990. "Speculative Dynamics," Working papers 544, Massachusetts Institute of Technology (MIT), Department of Economics.
  2. Wang, Jiang & Grossman, Sanford & Campbell, John, 1993. "Trading Volume and Serial Correlation in Stock Returns," Scholarly Articles 3128710, Harvard University Department of Economics.
  3. Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December.
  4. Sentana, Enrique & Wadhwani, Sushil B, 1992. "Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data," Economic Journal, Royal Economic Society, vol. 102(411), pages 415-25, March.
  5. Andrew W. Lo & A. Craig MacKinlay, 1989. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc.
  6. Frankel, Jeffrey A & Froot, Kenneth A, 1987. "Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations," American Economic Review, American Economic Association, vol. 77(1), pages 133-53, March.
  7. J. Doyne Farmer & Shareen Joshi, 2000. "The price dynamics of common trading strategies," Papers cond-mat/0012419, arXiv.org.
  8. Gregory Koutmos & Reza Saidi, 2001. "Positive feedback trading in emerging capital markets," Applied Financial Economics, Taylor and Francis Journals, vol. 11(3), pages 291-297.
  9. Conrad, Jennifer & Kaul, Gautam, 1988. "Time-Variation in Expected Returns," The Journal of Business, University of Chicago Press, vol. 61(4), pages 409-25, October.
  10. Mech, Timothy S., 1993. "Portfolio return autocorrelation," Journal of Financial Economics, Elsevier, vol. 34(3), pages 307-344, December.
  11. Geoffrey Booth, G. & Hatem, John & Virtanen, Ilkka & Yli-Olli, Paavo, 1992. "Stochastic modeling of security returns: Evidence from the Helsinki Stock Exchange," European Journal of Operational Research, Elsevier, vol. 56(1), pages 98-106, January.
  12. Atchison, Michael D & Butler, Kirt C & Simonds, Richard R, 1987. " Nonsynchronous Security Trading and Market Index Autocorrelation," Journal of Finance, American Finance Association, vol. 42(1), pages 111-18, March.
  13. Jeffrey A. Frankel & Kenneth A. Froot, 1987. "Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations," NBER Working Papers 1672, National Bureau of Economic Research, Inc.
  14. Kyle, Albert S, 1989. "Informed Speculation with Imperfect Competition," Review of Economic Studies, Wiley Blackwell, vol. 56(3), pages 317-55, July.
  15. Robert J. Shiller, 1984. "Stock Prices and Social Dynamics," Cowles Foundation Discussion Papers 719R, Cowles Foundation for Research in Economics, Yale University.
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Cited by:
  1. Laopodis, Nikiforos T., 2005. "Feedback trading and autocorrelation interactions in the foreign exchange market: Further evidence," Economic Modelling, Elsevier, vol. 22(5), pages 811-827, September.

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