Speculative noise trading and manipulation in the foreign exchange market

Journal of International Money and Finance

Volumn 19, Issue 5, 2000, Pages 689-712

  Vitale, Paolo ^a  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

Foreign exchange market; Manipulation; Speculative noise trading

Indexed keywords

EID: 0034287969     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0261-5606(00)00025-5     Document Type: Article

References (27)

1. Allen, H., Taylor, M.P., 1990. Charts, noise and fundamentals in the London foreign exchange market. The Economic Journal 100 (Supplement), 49-59.
2. Biais, B., Germain, L., 1997. Incentive Compatible Contracts for the Sale of Information. University of Toulouse mimeo.
3. Black, F., 1986. Noise. Journal of Finance 41, 529-543.
4. De Long, J.B., Shleifer, A., Summers, L., Waldmann, R., 1990. The economic consequences of noise traders. Journal of Political Economy 98, 703-738.
5. Dominguez, K.M., Frankel, J.A., 1993. Does foreign exchange intervention work? Institute for International Economics, Washington, DC.
6. Dominguez, K.M., 1997. The market microstructure of central bank intervention. University of Michigan, RSIE Discussion Paper No. 412.
7. Edison, H.J., 1993. The effectiveness of central-bank intervention: A survey of the literature after 1982. University of Princeton Department of Economics Special Papers in International Economics No. 18.
8. Frankel, J.A., Froot, K.A., 1986. The dollar as a speculative bubble: A tale of fundamentalists and chartists. NBER Working Paper No. 1854.
9. Frankel, J.A., Froot, K.A., 1987. Using survey data to test standard propositions regarding exchange rate expectations. American Economic Review 77, 133-153.
10. Froot, K.A., Scharfstein, S., Stein, J., 1992. Herd on the street: Informational inefficiencies in a market with short-term speculation. Journal of Finance 47, 1461-1484.
11. Goodman, S.H., 1979. Foreign exchange rate forecasting techniques: Implications for business and policy. Journal of Finance 34, 415-427.
12. Ito, T., Roley, V.V., 1987. News from US and Japan: Which moves the yen/dollar exchange rate? Journal of Monetary Economics 19, 257-277.
13. Kyle, A.S., 1985. Continuous auctions and insider trading. Econometrica 53, 1315-1335.
14. LeBaron, B., 1996. Technical trading rule profitability and foreign exchange intervention. NBER Working Paper No. 5505.
15. Levich, R.M., Thomas, L.R., 1993. The significance of technical trading-rule profits in the foreign exchange market: A bootstrap approach. Journal of International Money and Finance 12, 451-474.
16. Lewis, K.K., 1995. Are foreign exchange intervention and monetary policy related and does it really matter? Journal of Business 68, 185-214.
17. Lyons, R.K., 1995. Tests of microstructure hypotheses in the foreign exchange market. Journal of Financial Economics 39, 321-351.
18. Madrigal, V., 1996. Non-fundamental speculation. Journal of Finance 51, 553-578.
19. Menkhoff, L., Schlumberger, M., 1995. Persistent profitability of technical analysis on foreign exchange markets? Banca Nazionale Del Lavoro Quarterly Review 193, 189-216.
20. Neely, C., Weller, P., 1997. Technical Analysis and Central Bank Iintervention. University of Iowa mineo.
21. Palomino, F., 1996. Noise trading in small markets. Journal of Finance 51, 1537-1550.
22. Peiers, B., 1997. Informed traders, intervention, and price leadership: A deeper view of the microstructure of the foreign exchange market. Journal of Finance 52, 1589-1614.
23. Schulmeister, S., 1988. Currency speculation and dollar fluctuations. Banca Nazionale Del Lavoro Quarterly Review 167, 343-365.
24. Stein, J.C., 1989. Cheap talk and the fed: A theory of imprecise policy announcements. American Economic Review 79, 32-42.
25. Szakmary, A., Mathur, I., 1997. Central bank intervention and trading rule profits in foreign exchange markets. Journal of International Money and Finance 16, 513-535.
26. Tabellini, G., 1987. Secrecy of monetary policy and the variability of interest rates. Journal of Money, Credit, and Banking 19, 425-436.
27. Vitale P., 1999. Sterilised central bank intervention in the foreign exchange market. Journal of International Economics, 49, 245-267.