Extreme Changes in Exchange Rates as the Reactions on New Information

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F15%3A43906681" target="_blank" >RIV/62156489:43110/15:43906681 - isvavai.cz</a>

Výsledek na webu

<a href="https://ece.pefka.mendelu.cz/sites/default/files/imce/ece_2015_final.pdf" target="_blank" >https://ece.pefka.mendelu.cz/sites/default/files/imce/ece_2015_final.pdf</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Extreme Changes in Exchange Rates as the Reactions on New Information

Popis výsledku v původním jazyce

The paper is focused on extreme changes in exchange rates. Essentially, the validity of the theory of efficient markets is tested in the foreign exchange market by analysis of daily exchange rates of chosen currencies over the period from 2009 to 2013. USD, EUR, JPY, GBP, AUD and CHF are chosen according to their share in global foreign exchange market. The author presents the characteristics of currency pairs like their average daily change, total change, standard deviation of change and transaction costs. The changes in exchange rates in abnormal days are also analysed. Exchange rates change extremely in such days. Chosen currency appreciates or depreciates relative to the USD in these days, too. Insufficient and excessive responses to new information are examined. Then author analyses exchange rates in days following abnormal days. In order to find out the reasons of abnormal changes, the author analyses a number of political, economic and other information in abnormal days, total n

Název v anglickém jazyce

Extreme Changes in Exchange Rates as the Reactions on New Information

Popis výsledku anglicky

The paper is focused on extreme changes in exchange rates. Essentially, the validity of the theory of efficient markets is tested in the foreign exchange market by analysis of daily exchange rates of chosen currencies over the period from 2009 to 2013. USD, EUR, JPY, GBP, AUD and CHF are chosen according to their share in global foreign exchange market. The author presents the characteristics of currency pairs like their average daily change, total change, standard deviation of change and transaction costs. The changes in exchange rates in abnormal days are also analysed. Exchange rates change extremely in such days. Chosen currency appreciates or depreciates relative to the USD in these days, too. Insufficient and excessive responses to new information are examined. Then author analyses exchange rates in days following abnormal days. In order to find out the reasons of abnormal changes, the author analyses a number of political, economic and other information in abnormal days, total n

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2015

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Enterprise and Competitive Environment: Conference Proceedings

ISBN

978-80-7509-342-4

ISSN

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e-ISSN

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Počet stran výsledku

8

Strana od-do

231-238

Název nakladatele

Mendelova univerzita v Brně

Místo vydání

Brno

Místo konání akce

Brno

Datum konání akce

5. 3. 2015

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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