外汇市场效率与有效市场假说研究.pdfVIP

FOREXMarketEfficiency

•TheroleofEMH

–Theoreticalimplication:toefficientlyaggreeavailable

informationinprice-setting

–Practicalimplication:riskmanagement,forecasting;centralbank

intervention››››unusualprofit,marketfailure

•Theoryofmarketefficiency

–CharacteristicsofthecasewithEERbeingconstant:



(i−i)+ut+1

SSe

t+1t

–CharacteristicsofthecasewithEERwanderingsubstantially:

•Seriallycorrelatedfashion

–Jointhypothesis(rationalvaluing,activefollowingthevalue)

–Threetypesofmarketefficiency:Fama(1970,1991)

•Weakform:testsofreturnpredictability(historicinformation)

•semistrongform:eventstudy(publicannouncement)

•strongform:testsforprivateinformation(privateinformation)

•ExtensionsofEMHtheory

–Informationcost(“Free-rider”problem)

–Investorheterogeneity(expectation,riskpreference,wealth)

•Empiricalevidence

–Arbitrageprofitsandrisk-freeinvestment

•Overlapping,orthogonality,methodofestimation,

s+fp+u

t+k00tt+k

–Riskyinvestmentandreturnpredictability

ft−s+(f−s)+

t+k11tt2,t+k

–Pesoproblem,learningprocess(dataout-sample)

–Theroleof“news”(eventstudy):Dornbusch(1980)

sa+bf+b(z−ze)+u

t01t−12ttt

•implication

–ThenecessaryofFXmanagementandforecast

–