콘텐츠 바로가기
로그인
컨텐츠

Category Open

Resources

tutorial

Collection of research papers and materials on development issues

home

Resources
Economy Financial Policy

Print

원/달러 현물환 시장의 정보효율성(Informational efficiency in the USD/KRW spot market) : Runs Test 및 외국인 유가증권 거래규칙을 통한 중복 검정(Some evidence from a joint runs test and foreigners’ trading rule profits)

Related Document
Frame of Image
  • 원/달러 현물환 시장의 정보효율성(Informational efficiency in the USD/KRW spot market)
  • Ahn, Changmo안창모
  • 대외경제정책연구원(Korea Institute for International Economy Policy)


link
Title 원/달러 현물환 시장의 정보효율성(Informational efficiency in the USD/KRW spot market)
Similar Titles
Sub Title

Runs Test 및 외국인 유가증권 거래규칙을 통한 중복 검정(Some evidence from a joint runs test and foreigners’ trading rule profits)

Material Type Articles
Author(English)

Ahn, Changmo

Author(Korean)

안창모

Publisher

[서울(Seoul)]:대외경제정책연구원(Korea Institute for International Economy Policy)

Date 2010-12
Journal Title; Vol./Issue 대외경제연구(Journal of East Asian Economic Integration):vol. 14(no. 2)(December 2010)
Pages 28
Subject Country South Korea(Asia and Pacific)
Language Korean
File Type Link
Subject Economy < Financial Policy
Holding 대외경제정책연구원(Korea Institute for International Econom

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.