Exchange rate changes and net positions of speculators in the EuroFX futures market - Does market size matter?

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dc.contributor Aalto University en
dc.contributor Aalto-yliopisto fi
dc.contributor.author Pequeno, Dayla
dc.date.accessioned 2011-11-25T08:51:46Z
dc.date.available 2011-11-25T08:51:46Z
dc.date.issued 2011
dc.identifier.uri https://aaltodoc.aalto.fi/handle/123456789/830
dc.description.abstract This thesis analyses whether the size of the EuroFX futures market (measured through the growth rate of the total open interest in the EuroFX futures market at the Chicago Mercantile Exchange) has an effect in the determination of the Euro per dollar exchange rate in short horizons, and if the relationship between changes in the net positions of speculators in the EuroFX futures market and changes in the Euro per dollar exchange rate is affected by the size of the market. For the period from January 5, 1999 to December 28, 2010, it could be concluded that when the growth rate of the EuroFX futures market is relatively stable, this variable is a determinant to explain exchange rate movements in the short-term, and also that the relationship between changes in the net positions of speculators in the EuroFX futures market and changes in the Euro per dollar exchange rate is affected by the fast growth in the EuroFX futures market. This implies that speculators should consider the growth of the EuroFX futures market to forecast changes in the spot exchange rate when the size of the market is relatively stable. en
dc.format.extent 64
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.title Exchange rate changes and net positions of speculators in the EuroFX futures market - Does market size matter? en
dc.type G2 Pro gradu, diplomityö fi
dc.contributor.school Kauppakorkeakoulu fi
dc.contributor.school School of Economics en
dc.contributor.department Department of Economics en
dc.contributor.department Taloustieteen laitos fi
dc.subject.keyword exchange rate
dc.subject.keyword net positions of speculators
dc.subject.keyword euro futures market
dc.subject.keyword microstructure approach
dc.subject.keyword open interest
dc.subject.keyword growth
dc.subject.keyword size
dc.identifier.urn URN:NBN:fi:aalto-201111291704
dc.type.dcmitype text en
dc.programme.major Economics en
dc.programme.major Kansantaloustiede fi
dc.type.ontasot Master's thesis en
dc.type.ontasot Pro gradu tutkielma fi
dc.subject.helecon kansantaloustiede
dc.subject.helecon economics
dc.subject.helecon osakemarkkinat
dc.subject.helecon stock markets
dc.subject.helecon kurssivaihtelut
dc.subject.helecon volatility
dc.ethesisid 12660
dc.date.dateaccepted 2011-09-30
dc.location P1 I


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