학술논문
DYNAMIC INTERACTIONS BETWEEN THE SPOT AND FORWARD EURODRACHMA MARKETS
이용수 4
- 영문명
- 발행기관
- People & Global Business Association
- 저자명
- Nikiforos T Laopodis
- 간행물 정보
- 『Global Business and Finance Review』Vol.4 No.2, 37~46쪽, 전체 9쪽
- 주제분류
- 경제경영 > 경영학
- 파일형태
- 발행일자
- 1999.12.31
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국문 초록
영문 초록
The study examines the joint distribution of spot and forward rates returns for three Greek drachma exchange rates in terms of German marks, British pounds and US dollars. The empirical methodology is the bivariate Exponential GARCH model with an error-correction term. The results indicate that innovations originating in the forward markets do not transmit any significant information to the spot markets and vice versa. Moreover, the magnitude and/or the nature of shocks in one market do not affect the other asymmetrically. The evidence also implies that conditional variances (and covariances) do not vary over time and hence risk-minimizing hedging strategies remain unchanged. In all, the forward rates are not efficient predictors of the spot rates since the difference between them may incorporate valuable information.
목차
Abstract
Ⅰ. INTRODUCTION
Ⅱ. DATA AND PRELIMINARY STATISTICS
Ⅲ. MODEL SPECIFICATION AND EMPIRICAL RESULTS
Ⅳ. SUMMARY AND CONCLUSIONS
REFERENCES
키워드
해당간행물 수록 논문
- DYNAMIC INTERACTIONS BETWEEN THE SPOT AND FORWARD EURODRACHMA MARKETS
- EMPLOYEE PARTICIPATION IN QUALITY MANAGEMENT: INDUSTRY, STRATEGY, AND MANAGERIAL DETERMINANTS
- U.S.A. FOREIGN DIRECT INVESTMENT ABROAD: THE CHEAP LABOR MOTIVE EXAMINED
- MULTITRAIT-MULTIMETHOD INFORMATION MANAGEMENT: GLOBAL STRATEGIC ANALYSIS ISSUES
- HARMONIZATION OF INTERNATIONAL ACCOUNTING STANDARDS: AN EMPIRICAL ANALYSIS OF JAPANESE FIRMS
- THE ASSOCIATION BETWEEN SYSTEMATIC RISK AND MULTINATIONALITY: A GROWTH OPPORTUNITIES PERSPECTIVE
- SERIAL PROPERTIES AND FORECASTS OF LIBOR
- NONLINEAR DEPENDENCIES IN CURRENCY FUTURES
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