Market Efficiency of Euro Exchange Rates and Trading Strategies
Povzetek
Ta članek preverja hipotezo o tržni učinkovitosti na donose evra v primerjavi s petnajstimi valutamami z domnevo o predvidljivosti donosov, odvisnih od predznaka in jakosti endogenih šokov. Upoštevajoč značilnosti donosov deviznega tečaja smo v empirični analizi izbrali avtoregresijski pristop s kvantili. Na osnovi vzorca raziskovalnih podatkov, sestavljenega iz dnevnih deviznih tečajev v obdobju od 1. januarja 1999 do 30. aprila 2020, članek nakazuje dobičkonosne trgovalne strategije v odvisnosti od para valut. V primeru šestih izmed petnajstih parov valut so se donosi na devizne tečaje izkazali kot nepredvidljivi ali skoraj nepredvidljivi. V primeru devetih upoštevanih parov valut je obstajala znatna povezava med aktualnimi in preteklimi donosi na devizne tečaje, za katero smo ugotovili odvisnost od predznaka in jakosti endogenih šokov v donosih na devizni tečaj. Ob koncu članek obravnava možne dejavnike neučinkovitosti in predlaga nadaljnje raziskave obravnavane teme.
Prenosi
Literatura
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