High-frequency data and the effectiveness of the spot exchange rate EUR/USD

Petr Zeman and Martin Maršík
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Petr Zeman: Department of Accounting and Finances, University of South Bohemia in České Budějovice, 370 05 České Budějovice, Czech Republic
Martin Maršík: Department of Accounting and Finances, University of South Bohemia in České Budějovice, 370 05 České Budějovice, Czech Republic

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2013, vol. 61, issue 7, 2965-2971

Abstract: The boom of information technology in recent years significantly influenced the development of the financial markets. Financial markets have become accessible to the public, and increased demand for financial instruments is inevitably reflected in the advanced menu of securities dealers who currently offer a wide variety of investment in the underlying assets and through financial leverage allows investors to profit from tiny price changes of the underlying asset. Shortening of trading period and increasing the frequency of the trades clearly contributes to the growth of profits of securities dealers. The question remains whether this trading method offers the advantage to the investor himself, and whether the investor is able to take advantage of potential market inefficiencies to achieve above-average profits in the short term period. Therefore, this paper analyzes the behaviour of the spot exchange rate EUR/USD within a day, and through statistical tests examining the validity of the random walk hypothesis for the 5-minute, hourly, 4-hourly and daily changes in the spot exchange rate of the currency pair EUR/USD.

Keywords: foreign exchange market; EUR/USD; high-frequency data; market efficiency (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:mup:actaun:actaun_2013061072965

DOI: 10.11118/actaun201361072965

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