English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 52052/87180 (60%)
造訪人次 : 8894229      線上人數 : 61
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜尋範圍 查詢小技巧:
  • 您可在西文檢索詞彙前後加上"雙引號",以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋,建議至進階搜尋限定作者欄位,可獲得較完整資料
  • 進階搜尋
    請使用永久網址來引用或連結此文件: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/66338


    題名: Evidence on the contrarian trading in foreign exchange markets
    作者: Wan, Jer-yuh;Kao, Chung-wei
    貢獻者: 淡江大學經濟學系
    關鍵詞: Exchange rates;Contrarian strategy;Heterogeneous agents;Nonlinearity;STAR–GARCH model
    日期: 2009-11
    上傳時間: 2011-10-22 17:34:05 (UTC+8)
    出版者: Amsterdam: Elsevier BV * North-Holland
    摘要: This paper investigates the existence and price impacts of contrarian behavior in the foreign exchange markets. By utilizing a nonlinear behavioral model where the chartists and fundamentalists coexist, evidence obtained from two sample periods significantly supports the existence of contrarian trading in the British pound, the Japanese yen and the German mark markets. The contrarian trading can only partially offset the price impacts of trend-followers, therefore the price impact of the chartists as a whole is destabilizing. The ability that the contrarians can counterbalance the extrapolation of the trend-followers differs across markets. Traders in the BP market have the highest tendency to contrarian strategy, which in turn contributes to the least deviations of the BP exchange rates departing from its PPP fundamentals. The fundamentalists' confidence in trade fades during large misalignments, which make the mean reversion function of the fundamentalists weak under the circumstances. We find the magnitudes of interventions will be affected by the price impacts of contrarians and their abilities on market stabilization.
    關聯: Economic Modelling 26(6), pp. 1420-1431
    DOI: 10.1016/j.econmod.2009.07.015
    顯示於類別:[經濟學系暨研究所] 期刊論文

    文件中的檔案:

    檔案 大小格式瀏覽次數
    index.html0KbHTML164檢視/開啟

    在機構典藏中所有的資料項目都受到原著作權保護.

    TAIR相關文章

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - 回饋