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Konvexe Strategien im Devisenmarkt: Vorhersagekraft und ökonomischer Wert

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  4. Vol. 24, Issue 2
  5. pp. 212–234

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Leithner, S., Spahn, C. Konvexe Strategien im Devisenmarkt: Vorhersagekraft und ökonomischer Wert. Credit and Capital Markets – Kredit und Kapital, 24(2), 212-234. https://doi.org/10.3790/ccm.24.2.212
Leithner, Stephan and Spahn, Cornelius "Konvexe Strategien im Devisenmarkt: Vorhersagekraft und ökonomischer Wert" Credit and Capital Markets – Kredit und Kapital 24.2, 1991, 212-234. https://doi.org/10.3790/ccm.24.2.212
Leithner, Stephan/Spahn, Cornelius (1991): Konvexe Strategien im Devisenmarkt: Vorhersagekraft und ökonomischer Wert, in: Credit and Capital Markets – Kredit und Kapital, vol. 24, iss. 2, 212-234, [online] https://doi.org/10.3790/ccm.24.2.212
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Konvexe Strategien im Devisenmarkt: Vorhersagekraft und ökonomischer Wert

Leithner, Stephan | Spahn, Cornelius

Credit and Capital Markets – Kredit und Kapital, Vol. 24 (1991), Iss. 2 : pp. 212–234

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Article Details

Publisher Name
Duncker & Humblot
DOI
https://doi.org/10.3790/ccm.24.2.212
Language
Multiple languages
Pages
23

Author Details

Stephan Leithner, St. Gallen

Cornelius Spahn, St. Gallen

References

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  33. Henriksson, R. D. und R. Merton (1981): „On Market Timing and Investment Performance. II Statistical Procedures for Evaluating Forecasting Skills“, Journal of Business, 54, 4, S. 513 – 533.  Google Scholar
  34. Hsieh, D. (1983): „A heteroskedasticity- consistent covariance matrix estimator for time series regressions“, Journal of Econometrics, 26, S. 281 – 290.  Google Scholar
  35. Hochstädter, D. (1989): „Einführung in die statistische Methodenlehre“, 6. Auflage, Frankfurt a.M.: Harri Deutsch.  Google Scholar
  36. Hull, J. (1989): „Options, Futures and other Derivative Securities“, Englewood Cliffs, NJ: Prentice- Hall.  Google Scholar
  37. Ibbotson Assoc. (1989): „Stocks, Bonds, Bills, and Inflation 1989 Yearbook“, Chicago, Olinois: Ibbotson Associates. – Kaufmann, P. J. (1987): „Commodity Trading Systems and Methods“, New York: John Wiley and Sons.  Google Scholar
  38. König, P. and J. Möller (1989): „Exchange Rates, Forward Rates and Interest Differentials“ Geld und Währung (Monetary Affairs), 2/3, S. 5 – 29.  Google Scholar
  39. Kritzman, M. (1989): „Serial dependence in currency returns: Investment implications“, Journal of Portfolio Management, Fall 1989, S. 96 – 102.  Google Scholar
  40. Lo, A. und A. MacKinlay (1988): „Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test.“, Review of Financial Studies, 1,1,S. 41 – 66.  Google Scholar
  41. Lo, A. und A. MacKinlay (1989): „The Size and Power of the Variance Ratio Test in Finite Samples. A Monte Carlo Investigation“, Journal of Economics, 4, S. 203 – 238.  Google Scholar
  42. Mark, N. C. (1988): „Time-Varying Betas and Risk Premia in the Pricing of Forward Foreign Exchange Contracts“, Journal of Financial Economics, 22, S. 335 – 354.  Google Scholar
  43. MacDonald, R. (1988): „Floating Exchange Rates: Theories and Evidence“, London: Unwin Hyman.  Google Scholar
  44. Merton, R. (1981): „On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts“, Journal of Business, 54, 3, S. 363 – 406.  Google Scholar
  45. Perold, A. und W. F. Sharpe (1988): „Dynamic Strategies for Asset Allocation“, Financial Analysts Journal, Jan./Feb., S. 16 – 27.  Google Scholar
  46. Pfeifer, P. E. (1985): „Market Timing and Risk Reduction“, Journal of Financial and Quantitative Analysis, 20, 4, S. 451 – 459.  Google Scholar
  47. Siebert, A. (1989): „The Risk Premium in the Foreign Exchange Market“, Journal of Money, Credit and Banking, 21, 1, S. 49 – 65.  Google Scholar
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Abstract

Convex Strategies on the Exchange Market: Forecasting Ability and Economic Value

The subject of this empirical study is the predictability of deviations, defined as yield on foreign exchange transactions, from the forward rate parity for five rates of exchange in the period 1977/88. Starting from the question whether such deviations are predictable and not random in character, this paper analyzes the yield on foreign exchange transactions for regularity. The following shows that, where foreign exchange transaction yields auto-correlate in a positive sense, a convex investment behaviour is advantageous and that the Trading Rules set out in the “technical analysis” may be referred to as convex in nature. The forecasting value of the strategies examined has been analyzed on the basis of both the Henriksson/Merton and the Cumby/ Modest tests. On this basis, the economics element involved in the forecasting value is ascertained with the help of the options price theory. Simulation runs covering the period 1977/1988 have confirmed the results obtained. It is subsequently -shown that optimal strategy implementation by investors depends not only on the quality of the forecasts made, but also on individual risk aversion.

Table of Contents

Section Title Page Action Price
Stephan Leithner/Cornelius Spahn: Konvexe Strategien im Devisenmarkt:\rVorhersagekraft und ökonomischer Wert 212
I. Einführung 212
II. Empirische Evidenz für Trends in der Devisenkursentwicklung 214
III. Konvexe Strategien und ihre Vorhersagekraft im Devisenmarkt 216
1. Konvexe Strategien 217
2. Empirische Überprüfung der Vorhersagekraft 220
IV. Ökonomischer Wert von konvexen Devisenmarktstrategien 225
V. Zusammenfassung der Ergebnisse 229
Anhang 1 230
Anhang 2 231
Anhang 3 232
Literaturverzeichnis 232
Zusammenfassung: Konvexe Strategien im Devisenmarkt: Vorhersagekraft und ökonomischer Wert 233
Summary: Convex Strategies on the Exchange Market: Forecasting Ability and Economic Value 233
Résumé: Stratégies convexes sur le marché des devises: Pouvoir de prévision et valeur économique 234

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