Informational Efficiency in the USD/KRW Spot Market: Some Evidence from a Joint Runs Test and Foreigners’ Trading Rule Profits

IF 1 Q3 ECONOMICS
Changmo Ahn
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引用次数: 1

Abstract

This paper examines whether the USD/KRW spot market is efficient in processing new information by employing both the Runs Test and the foreigners' securities trading rule profitability approach. Excluding the period of 2008 financial crisis, the USD/KRW spot market is efficient in terms of close rates, but not efficient in terms of open rates. The foreigners' securities trading rule can also produce statistically significant profits if the trades are based on open prices, though not high. This implies that traders can predict future exchange rates, to some degree, with the information on foreign net purchases of securities in the Korean stock/ bond markets. If we consider the related interest differentials and transaction costs, however, the profits fade out to marginal level or below. This result implies that traders can expect the existence of predictability in the USD/KRW spot market, but not profitability.
美元/韩元现货市场的信息效率:来自联合运行测试和外国人交易规则利润的证据
本文采用runes检验和外国人证券交易规则盈利能力方法检验了美元/韩元现货市场对新信息的处理是否有效。除2008年金融危机时期外,美元兑韩元现货市场在收盘价方面是有效的,但在开盘价方面则不是有效的。外国人的证券交易规则也可以产生统计上显著的利润,如果交易是基于开盘价,尽管不高。这意味着,只要掌握外国投资者在韩国股票和债券市场的净购买量,就能在一定程度上预测未来的汇率。然而,如果我们考虑相关的利息差异和交易成本,利润就会逐渐下降到边际水平或以下。这一结果意味着交易者可以期待美元/韩元现货市场存在可预测性,但不能期待盈利。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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12.50%
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10
审稿时长
10 weeks
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