Exchange Market Research Articles

The Impact of Federal Reserve’s Monetary Policy on the Stock, Foreign Exchange and Bond Markets in UK

The Impact of Federal Reserve’s Monetary Policy on the Stock, Foreign Exchange and Bond Markets in UK

Problems and Countermeasures of Apple Agricultural Products Futures Market in China

In recent years, the improvement of quality and efficiency of national economy and agricultural modernization have directly promoted the innovative development of apple industry in China. At the end of 2017, the first Apple futures in China was born, and then the scale of Apple trading market continued to expand, and the standardization of Apple futures trading market increased year by year, which directly promoted the adjustment and upgrading of Apple industry. However, the development of Apple futures market lags behind the current situation of spot market development, and the imperfect risk management system, low internationalization level of Apple futures, imperfect laws and regulations of Apple futures market and chaos of market speculators still need to be solved urgently. In order to promote the rapid development of China's apple futures market, it is important to improve the trading system of bulk agricultural products; Strengthen the risk management mechanism; Strengthen international market cooperation and exchanges; Revise and improve the relevant laws and regulations of the Apple Futures Market and improve the level of market standardization; Take measures to limit speculation.

Determinasi RAROC Bank menggunakan Faktor Internal dan Faktor Eksternal Bank serta Size sebagai Variabel Moderasi

This study aims to explore the influence of internal and external company factors on bank profitability with size as a moderating variable. The company's financial ratios and macroeconomic variables are used to determine bank profitability, specifically the Risk-Adjusted Return on Capital (RAROC). A panel data model is employed to determine the RAROC in Indonesia for the period 2014 to 2023. This study finds that Non-Performing Loans, Electricity Consumption, Oil Prices, Exchange Rate, and FED Rate do not affect RAROC. However, Net Interest Margin and Total Assets have a significantly negative effect on RAROC, while Market Power has a significantly positive effect on RAROC. Additionally, Total Assets strengthen the negative effect of Non-Performing Loans and Net Interest Margin on RAROC, while Total Assets strengthen the positive effect of Market Power, Electricity Consumption, Oil Prices, Exchange Rate, and FED Rate on RAROC.

China's Foreign Exchange Market: Research on Problems and Countermeasures

The foreign exchange derivative market plays a vital role in the global economy. As one of the world's largest economies, China has already recognized the significance of establishing a well-regulated foreign exchange market. However, the Chinese foreign exchange market still faces several challenges. There are four main challenges: regional disparities in development, low level of diversification, high market risks, and inadequate regulation. These issues should draw public’s further attention and get resolution. This paper aims to analyze the four problems above in China's foreign exchange derivatives market and propose feasible solutions, including alleviating the imbalance problem, strengthening market diversification, reducing information asymmetry and strengthening the government supervision, which help to address the identified problems. The research findings are also helpful for some market participants and policymakers to understand the shortcomings of China's foreign exchange derivatives market better, and thus designate more rigorous trading strategies and improve the environment for China's foreign exchange derivatives market.

The Problems and Solutions in the Chinese Exchange Market

The Problems and Solutions in the Chinese Exchange Market

Foreign Exchange Rates Prediction Based on Comparative Models

With the development of globalization, fluctuations in the foreign exchange market have the huge potential to influence global economy. Machine Learning technology shows great potential in the field of financial forecasting than traditional statistical methods in recent years. This research selected statistical model Autoregressive Integrated Moving Average (ARIMA) and machine learning models Linear Regression and Long- and Short-Term Memory (LSTM) to make training and testing of historical data on the forex market. Root Mean Squared Error (RMSE), Mean Absolute Error (MAE), and R-Squared were chosen as evaluation indexes to evaluate the performance of each model and compare their performance in forex exchange rate forecasts. The results show that ARIMA and LSTM could make better predictions than Linear Regression, between which LSTM has higher degree of fitting data. This research provides a detailed analysis comparing the performance of different models in forex exchange rate forecasting whose results are beneficial to guide forex market forecast in practical application and provide reference for future research.

Effect Analysis of Covid-19 on China’s Capital Market for Property-Rights Exchange Based on Functional Clustering

In August 2015, the State Council of the People’s Republic of China listed China’s capital market for property-rights exchange as the capital market along with the Chinese stock market. Consequently, China’s capital market for property-rights exchange is an integral part of the country’s multilayered capital market. The COVID-19 pandemic has had significant effects on the capital markets. Since China’s capital market for property-rights exchange mainly serves nonlisted companies, it is complicated to obtain its exchange data to perform COVID-19’s effect analysis. This study investigates COVID-19’s effect on China’s capital market for property-rights exchange. In this paper, we collected the online property rights-exchange data from 2017 to 2020 of an electric trading platform. The functional principal component analysis method is innovatively introduced to explore the online property rights-exchange fluctuation to get an insight into COVID-19’s effect on China’s capital market for property-rights exchange. Based on the principal component scores, COVID-19’s effect on different property rights-exchange institutions are divided into two categories using principal component clustering. A time-series model is used to quantify the effects in the two categories. The research results finally show that online property rights-exchange can reduce the negative effect of COVID-19 on China’s capital market for property-rights exchange, which encourages property rights-exchange institutions to accelerate the use of the online platform to overcome the challenges of the pandemic.

THE LATEST ASPECT OF ASSESSING THE LEVEL OF CURRENCY SECURITY OF UKRAINE

The level of currency exchange security is an important indicator of the effective functioning of the currency exchange market. An imbalance in the domestic currency exchange market intensifies financial instability and makes it impossible to maintain an adequate level of currency security. The purpose of the research is to estimate the level of currency security of Ukraine in the conditions of currency market imbalance to determine the main reasons for its inadequate level and to make proposals for improving the methodology of calculation of the integral index of currency security.The article offers the author's interpretation of the essence of the concept of "currency security". The integral index of currency security during 2008 - 2022 was calculated in accordance with the "Methodical recommendations for calculating the level of economic security of Ukraine" and recommendations were suggested for improving this methodology in order to improve the situation on the currency market.It was proved that certain indicators make an impact on the level of currency security of Ukraine: movement of capital, negative trade balance, sufficient level of international reserves, dollarization of the economy, and high level of public debt. Ways to ensure an adequate level of currency security were proposed. Macroeconomic indicators that can act as indicators of currency security are considered and the correlation between them and the level of currency security was investigated. The expediency of introducing an additional indicator for the integral assessment of currency security is substantiated: the ratio of state and state-guaranteed debt to GDP. It allows to calculate the level of currency security more reliably. It is well-founded that the proposed indicator has a close stochastic connection with the exchange rate, therefore, if it is used with existing indicators of currency security calculation, it allows to detect negative trends of decreasing of the level of currency security.

The effect of Board Independence on Environmental disclosure; the moderating role of Gender Diversity in Amman stock exchange

Depending on the agency theory view and response to the modern invitations to speculate gender diversity role. How it can enhance the relationship between board independence and environmental disclosure due to prior studies focus on direct relationship between them. This study seeks to ascertain how gender diversity moderates the association between board independence and environmental disclosure among non-financial firms listed on the emerging Amman stock exchange market (ASE) between 2014 and 2019. The direct and indirect relationships were examined using multiple regressions on panel data analysis; the empirical findings indicate that board independence and environmental disclosure have a positive and substantial direct link. Additionally, the findings demonstrated that gender diversity is a significant moderator in this relationship. However, this study provides managers, owners and policymakers with a set of main recommendations related to the major need for a more board independence and gender diversity in order to enhance environmental disclosure in emerging markets. Our results are useful to policymakers interested for an important framework on environmental disclosure.

경제정책 불확실성이 한국 금융 불안에 미치는 영향 분석

Korea is a small open economy and is significantly affected by macroeconomic shocks in major countries. Previous studies have shown that financial markets such as the stock market and foreign exchange market are sensitive to financial instability and economic policy uncertainty in major developed countries. However, these studies have typically focused on individual financial markets and have not comprehensively analyzed how financial stress in Korea is affected by uncertainty in major developed countries from the perspective of financial stability. In this study, we use the spillover index proposed by Diebold and Yilmaz(2009, 2012) to analyze the impact of economic policy uncertainty (EPU) in the United States, Europe, Japan, and Korea on Korea's financial stress index (FSI). The study examines the influence of economic policy uncertainty in these major developed countries on Korea's financial stress over time. Furthermore, the findings indicate that during periods of heightened uncertainty, major developed countries have a relatively large impact on Korea's financial stress.

EXCHANGE RATES AND STOCK MARKET DYNAMICS: ISLAMIC VERSUS CONVENTIONAL FINANCIAL SYSTEMS

This study investigates the changes and persistence in dynamic connectedness between stock market performance and exchange rate fluctuations, comparing conventional and Islamic financial systems. With an eye on a global financial landscape characterized by the integration of capital markets and the adoption of floating exchange rate regimes, it examines the effects of exchange rate variations on the dynamics of the stock market in nine different countries - the United Kingdom, Australia, Japan, Singapore, Canada, China, India, Korea, and South Africa. The study employs daily data spanning from November 2015 to July 2023 and uses a comprehensive analysis of three-step methodology, including nonparametric causality-in-quantiles tests, asymmetric slope Conditional Autoregressive Valueat-Risk (CAViaR), and Time-Varying Parameter Vector Autoregressive (TVP-VAR) Connectedness measure. Our results underline the asymmetric impact of exchange rate fluctuations on stock markets and highlights the distinctive characteristics of Islamic financial markets. Comparing Islamic and conventional stock markets in the context of exchange rate fluctuations, this study not only serves to fill a gap in the existing literature but also emphasizes the significance of currency exchange rate swings for global investors, policymakers, and practitioners trying to understand the intricacies of global financial markets.

Volatility Spillover Effect from Energy Markets to Foreign Exchange Markets: The Case of Central and Eastern European and Eurasian Countries

Volatility Spillover Effect from Energy Markets to Foreign Exchange Markets: The Case of Central and Eastern European and Eurasian Countries

The extraordinary events as an environment for the development and implementation of the monetary policy of the National Bank of Ukraine

The paper establishes that the extraordinary events represented by the pandemic and martial law over the past five years have become powerful catalysts for changes in the banking business. It is shown that maintaining the financial stability and defense capability of the country in the conditions of martial law are the main tasks of the NBU. It was established that due to the consistent and predictable position of the NBU, balanced monetary and regulatory policy, it was possible to ensure the stability of the financial system of Ukraine even in the difficult conditions of martial law. It has been proven that the introduction of restrictive measures is a necessary step to ensure the stability and security of the financial system of Ukraine in conditions of extraordinary events. It is shown that the banking system of Ukraine demonstrates the ability to function effectively, even in the extraordinary conditions of war, thanks to a high level of liquidity, sufficient capital and the ability to generate income. The main stages of monitoring the Monetary Policy Strategy of the NBU are proposed. It is shown that its main principles in the conditions of martial law are: preservation of the stability of the financial system and liquidity of banks; development and implementation of a monetary strategy that takes into account the peculiarities of the martial law; financial support to banks and the economy; restrictions and control on the foreign exchange market; readiness to take emergency measures; effective communication with the public and business community. Recommendations for improving the monetary policy have been developed, aimed at increasing its efficiency and flexibility, ensuring the stability of the financial system and supporting the economy in the conditions of martial law. It has been proven that a set of measures for analyzing and evaluating the effectiveness of monetary instruments, implementing changes to improve efficiency, revising target inflation indicators, analyzing the situation on the foreign exchange market, strengthening the communication strategy, conducting stress tests, coordinating with other branches of government, creating reserves and flexible mechanisms will make it possible to minimize the negative consequences of martial law and contribute to the faster recovery of Ukraine’s economy.

The influence of the organization of the national currency system on the investment climate in Ukraine

The paper examines important aspects of the influence of the organization of the national currency system on the investment climate in Ukraine. The authors consider the functions of the national currency system, including control of international settlements, management of the foreign exchange market, participation in international relations and provision of favorable conditions for economic development. Special attention is paid to the influence of the organization of the currency system on the investment climate through the analysis of various problems, such as corruption, instability of the economic and political situation, lack of guarantees, etc. The paper puts forward recommendations for improving the investment climate in Ukraine, in particular through the improvement of legislation, the fight against corruption, the creation of a competitive business environment and other measures. The analysis of foreign direct investment schedules informs about the dynamics of the investment process in Ukraine and emphasizes the importance of solving problems for attracting new investments. The conclusions of the paper indicate the need for comprehensive measures to improve the investment climate and increase Ukraine's competitiveness on the international market.

Inferring Dealer Networks in the Foreign Exchange Market Using Conditional Transfer Entropy: Analysis of a Central Bank Announcement.

The foreign exchange (FX) market has evolved into a complex system where locally generated information percolates through the dealer network via high-frequency interactions. Information related to major events, such as economic announcements, spreads rapidly through this network, potentially inducing volatility, liquidity disruptions, and contagion effects across financial markets. Yet, research on the mechanics of information flows in the FX market is limited. In this paper, we introduce a novel approach employing conditional transfer entropy to construct networks of information flows. Leveraging a unique, high-resolution dataset of bid and ask prices, we investigate the impact of an announcement by the European Central Bank on the information transfer within the market. During the announcement, we identify key dealers as information sources, conduits, and sinks, and, through comparison to a baseline, uncover shifts in the network topology.

Responses of Foreign Exchange Market to External Shocks: What Makes Differences?

Responses of Foreign Exchange Market to External Shocks: What Makes Differences?

Application of Econometrics in Agricultural Production

This Special Issue on “Applications of Econometrics in Agricultural Production” has aimed to rebuild and extend the approach to agricultural production analysis by including econometric methods for (a) developing a new paradigm for agricultural production analysis that acknowledges and models the relevance of the combined economic and agronomic aspects of the production processes; (b) defining output and input demand and supply in agricultural production from a technical perspective, with the use of production function/or production frontier models; and (c) understanding agricultural market exchange and market distortions and failures from a quantitative perspective [...]

Analysis of Problems and Countermeasures in Chinese Stock Market

Chinas stock is one of the most popular trading platforms with high global attention, it plays an important role in Chinese economy and global economy. With the rapid development of Chinese economy, Chinas stock market has also achieved significant achievements. It not only provides a vital platform to finance, but also optimize resource allocation. Whats more, it decreases the investors risk of the investment, and makes it is possible for government to carry out macro-economic policies through market stock. it boosts the development of Chinas financial system, and increases the ability of the Chinas financial system to anti-risks. However, there are also some problems existing in Chinese stock market, for example, the less reasonable structure of investors, serious disadvantages in the small and medium-sized GEM market governance, and frequent problems occur in the stock market trading mechanism and exchange system. This paper will as these three problems basis of starting the topic, and put forward countermeasures and strategies, which will have significant role in solving the existing problems efficiently in Chinese stock market.

Functional Time Series Models for K-Step Prediction of Sugar Production: A Case Study of Eswatini, Kenya, and South Africa

Sugar, produced from cane or beet, is a vital energy source and a globally traded commodity. Most business happens in a futures exchange market where speculators, hedgers, and institutional consumers and producers, make decisions based on their understanding of the future supply and demand situation. Sugar is sometimes bought and sold before the cane or beet is planted. Hence, improving sugar production forecast accuracy is vital to maximize gains and enable effective planning. The study considered the annual sugar production total as a function of the monthly output rather than a scalar quantity and analyzed historical data using three functional time series techniques. In particular, the methods used for k-steps and dynamic updating prediction of sugar production include Local Polynomial Regression (LPR), Ridge Regression (RR), and Penalized Least Squares (PLS). The performance of the three models was compared to that of the automatic ARIMA method using the Mean Squared Error (MSE) and the Mean Absolute Percentage Error (MAPE) measures to establish the suitability of each technique in sugar production forecasting. The LPR, RR, and PLS outperformed the ARIMA method in all three cases. However, the prediction accuracy was lower for highly volatile datasets from countries that overly depend on rainfall for cane development.

Managerial Performance and Economic Performance in the Technology Sector

The technology (tech) sector outperformed all other sector stock price averages in 2023. This paper addresses two issues regarding the tech sector. First, relative to other firms, are there any managerial areas in which the tech sector outperforms to explain their superior performance relative to all other firms? Second, within the tech sector, what managerial practices lead to higher profits? Four areas of managerial performance are considered: customer satisfaction, employee engagement and development, innovation, and social responsibility. This paper utilizes Bloomberg data and takes the novel approach of utilizing the Drucker Institute Indexes to assess performance in the tech sector. The Drucker Institute has computed a Corporate Effectiveness Index since 2017. The overall effectiveness index is based on performance regarding five dimensions: customer satisfaction, employee engagement and development, innovation, social responsibility, and financial strength. The firms they track are United States companies whose shares are traded on the New York Stock Exchange or Nasdaq Stock Market and meet certain size requirements. Among the four dimensions tested, customer satisfaction is the one dimension that is positive and significant when comparing across tech firms. Second, employee engagement is more important for tech firms than for other firms. The major contribution of this paper’s findings is that while innovation may be the hallmark feature of tech firms, innovation for its own sake does not drive firm performance. A focus on people (customers and employees) is the key to earning higher profits in the tech sector.