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Three Essays on Exchange Rate and Institutional Investors' Trading Performance
|關鍵字:||匯率;外國機構投資者;非線性傅立葉函數;情緒;共同基金經理;基金排名;Exchange Rate;Foreign Institutional Investors;Fourier Stationary Test;Sentiment||引用:||Reference 1 Ajayi, R.A. and M. Mougoue, 1996, On the dynamic relation between stock prices and exchange rates, Journal of Financial Research XIX, No.2, 193-207. Andani, A., Lafuente, J.A., and Novales, A., 2009. Liquidity and hedging effectiveness under futures mispricing: International evidence. Journal of Futures Markets 29, 1050-1066. Bera, A. K., and S. Kim ., 2002, Testing constancy of correlation and other specifications of the BGARCH model with an application to international equity returns,' Journal of Empirical Finance, 9, 171–195. Berben, R.P. and Jansen, W.J., 2005 Comovement in international equity markets: a sectoral view, Journal of International Money and Finance 24, 832-857. Bertus, M., Godbey, J., Hinkelmann, C., and Mahar, J.W., 2008. Noise, equity prices, and hedging: A new approach. International Review of Financial Analysis 17, 886-902. 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There are three essays in this dissertation. The interactions of foreign institutional investors between equity market and futures market are investigated in essay one. The validity of purchasing Power parity (PPP) is discussed in essay two. Correlations between sentiment and local institutional investors are assessed in essay three.
Essay one investigates the changing correlation between spot market and futures market by applying the STCC-EGARCH model. The empirical results show that foreign institutional investors' trading activities between spot market and futures market are distinctively different when exchange rate is volatile.
Essay two examines the smooth break in real exchange rate by applying the nonlinear Fourier function. The empirical results indicate that that PPP is not valid for most of these Middle East countries except the Bahrain and Israel.
Essay three investigates the correlation between sentiment and fund managers' performance. The performances of mutual fund support neutrality hypothesis, no relationship between fund manager sentiment and fund performances, are better than those do not support neutrality hypothesis. This empirical result implies that fund managers perform well when they are not influenced by the market sentiment.
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