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  Efficiency in the Currency Futures Market
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Ophav

 Ophav:
Sand, Thue1, Forfatter
Bergman, Ulf Michael2, Vejleder
Tilknytninger:
1Det Samfundsvidenskabelige Fakultet, Københavns Universitet, København, Danmark, diskurs:7001              
2Økonomisk Institut, Det Samfundsvidenskabelige Fakultet, Københavns Universitet, København, Danmark, diskurs:7014              
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Indhold

Ukontrollerede emneord: Efficiency, efficiens, Futures, currency, foreign exchange, teknisk analyse
 Abstract: The purpose of the thesis is to investigate the Efficient Market Hypothesis in the foreign exchange futures market. The Adaptive Market Hypothesis as proposed by Lo (2004) is presented as an alternative to the Efficient Market Hypothesis. The hypothesizes are
analyzed using technical analysis on the individual futurescontracts, multivariate cointegration analysis of all the futurescontracts, and by considering the relationship between the futuresprices, spotprices and cost-of-carry.
The analysis is performed using three technical trading systems. Based on the simulations for the systems it cannot be rejected, that they have generated excess returns over long periods of time, and it is also rejected that this is a result of datasnooping. The
returns of the trading systems have declined through the analyzed period, and for the more studied systems the profit opportunities seems to have completely disappeared. The results are consistent with the Adaptive Market Hypothesis but not with the Efficient
Market Hypothesis.
The multivariate cointegrationsanalysis rejects the existence of a cointegration among the foreign exchange rate futures in line with the Efficient Market Hypothesis. Spot- and futuresprices are found to cointegrate with cointegrationvector (1, -1). The unbiasedness hypothesis for market efficiency is tested and generally rejected, and the Futures Premium Puzzle is confirmed. Based on the results from the unbiasedness hypothesis it is found that a simple carry-trade strategy has earned positive excess returns, and weak-form efficiency therefore is violated. A possible relationship between the returns from the trading systems, the Futures Premium Puzzle and the behavioral bias overconfidence is investigated and seems to offer a possible explanation for the deviation from the Efficient Market Hypothesis, which is found in the empirical results.
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Tilgængelighed:
Offentlig
Mime-type / størrelse:
application/pdf / 2MB
Copyright dato:
2012-04-12
Copyright information:
De fulde rettigheder til dette materiale tilhører forfatteren.
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Basal

Bogmærk denne post: https://diskurs.kb.dk/item/diskurs:28126:3
 Type: Speciale
Alternativ titel:  
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Detaljer

Sprog: Danish - dan
 Datoer: 2011-09-15
 Sider: -
 Publiceringsinfo: København : Københavns Universitet
 Indholdsfortegnelse: Indledning 1
1 Futures 3
2 Markedsefficiens 9
3 Adfærdsøkonomi 15
3.1 Prospektteori som alternativ til forventet nytteteori . 16
3.2 Heuristik . 17
3.3 Selvbedrag 18
3.4 Følelser og selvkontrol . 19
4 Den adaptive markedshypotese 21
3.5 Kritik af adfærdsøkonomi . 20
5 Metode og Empiriske modeller 22
5.1 Teknisk analyse . 22
5.2 Kointegration mellem valutafutures 37
5.3 Futures- og spotpris efficiens 39
5.4 Programmer og kode 44
5.5 Opsummering 45
6 Empiri 46
6.1 Teknisk analyse . 46
6.2 Kointegration mellem valutafutures 71
6.3 Spot- og futures markedsefficiens . 76
7 Diskussion 93
7.1 Futures Premium Puzzle, tekniske handelssystemer og overconfidence . 93
7.2 Mulige årsager til afvigelser fra EMH for tekniske handelssystemer . 95
7.3 Diskussion af efficiente markeder i forhold til adaptive markeder 97
 Note: -
 Type: Speciale
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