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  Existing literature in international financial management reports a puzzle about the forward foreign exchange rate premium over the spot foreign exchange rate.The premium is often negatively correlated with subsequent changes in the spot rate,which is considered to defy economic intuition and possibly violate market efficiency.Rational explanations include non-stationary risk premia and econometric misspecifications,and the puzzle as a guide to profitable trading.Also,the puzzle consists of three aspects of anomalies:volatility,persistence,and unbiasedness.The puzzle has not yet solved fully thus far. This paper suggests firstly that there may be no real puzzle.A simple model fits the data.Starting from examining the relations between the excess return of speculation in foreign currency forward markets and the change rates of the return rate on equity(stock) portfolio and the change rate of futures price on stock index as well as foreign currencies where the stock markets and futures market are active, publicly traded,and high transparent markets,the source of the risk premia in the future change in spot rate has been analyzed in detail.In the paper we find that the future change in spot foreign exchange rate correlate with both forward premium and especially the change rate in stock index or the change rate of futures settlement price on the stock index,which implies that the investors compare and employ the profitable opportunities across financial markets not just act in only one market such as foreign exchange forward market,thus maximizing the utility or efficiency of their funds.In addition,the change rate of futures price has rather impacts on the excess return of speculation in currency forward markets,then the relation between OTC markets and publicly traded markets of foreign exchange. In the latter part of the paper,we try to explore the behavioral aspects of the investors in the foreign exchange markets(spot and forward markets).We discuss asset prices in an economy where investors derive direct utility from their consumption and adjust their utility based on the concept of habit formation and catching up with Joneses ,therefore explaining thus far the formidable unbiasedness anomaly to a good extent.Simulation results exhibit properties similar to what has been observed in historical data.……