Evidence on the contrarian trading in foreign exchange markets

doi:10.1016/j.econmod.2009.07.015

淡江大學機構典藏 > 商管學院 > 經濟學系暨研究所 > 期刊論文 > Item 987654321/66338

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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

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