Are key market players in currency derivatives markets affected by financial conditions?

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dc.contributor.authorGurrib, Ikhlaas
dc.date.accessioned2020-01-23T12:25:12Z
dc.date.available2020-01-23T12:25:12Z
dc.date.copyright2018
dc.date.issued2018
dc.descriptionThis work is licensed under Creative Commons License and full text is openly accessible in CUD Digital Repository. The version of the scholarly record of this work is published in Investment Management and Financial Innovations (2018), accessible online through this link http://dx.doi.org/10.21511/imfi.15(2).2018.16en_US
dc.description.abstractTis study investigates if the biggest players in major foreign currencies futures markets are affected by current and previous fnancial conditions. Using root mean squared errors (RMSE), normalized RMSE, and Nash-Sutcliffe efciency, this study compares the impact of current, 1 and 2 week lags of fnancial conditions onto foreign currency futures players' net positions. Te fnancial conditions indices used are UFCI, STLFSI, NFCI and ANFCI with weekly data set from January 2007 till December 2018. Te US dollar index futures is included as a benchmark, since the fnancial conditions are based on US data and the most actively traded foreign currencies are paired against the USD. While RMSE and NRMSE gave mixed results into how current, 1 week and 2 weeks lagged Financial Conditions Indices (FCIs) values are related to speculators and hedgers' net positions, lagged NFCI captured the highest correlation with both players' net positions in Japanese Yen. 95% prediction levels encompassed the actual net positions held, including the fnancial crisis of 2008-2009. Forecasts were lower (higher) for hedgers (speculators) than actual net positions held during the same period. Comparatively, in the period 2016-2017, hedgers (speculators) net positions forecasts were higher (lower) than actual positions. Te latter could be explained by FCIs not being affected during this period's event, compared to net positions. While net positions data were stationary, excess kurtosis was present pointing to non-normal and autocorrelated series. Tis suggests the need to look into other components like non-reportable long or short positions in future analysis. © 2018 Ikhlaas Gurrib.en_US
dc.identifier.citationGurrib, I. (2018). Are key market players in currency derivatives markets affected by financial conditions? Investment Management and Financial Innovations, 15(2), 183–193. https://doi.org/10.21511/imfi.15(2).2018.16en_US
dc.identifier.issn18104967
dc.identifier.urihttp://dx.doi.org/10.21511/imfi.15(2).2018.16
dc.identifier.urihttps://hdl.handle.net/handle/20.500.12519/23
dc.language.isoenen_US
dc.publisherLLC CPC Business Perspectivesen_US
dc.relationAuthors Affiliations: Gurrib, I., Head of Accounting and Finance, Faculty of Management, Canadian University Dubai, United Arab Emirates.
dc.relation.ispartofseriesInvestment Management and Financial Innovations;Vol. 15, no. 2
dc.rightsCreative Commons Attribution-NonCommercial 4.0 International (CC BY-NC 4.0)
dc.rights.holderCopyright : 2018 Ikhlaas Gurrib
dc.rights.urihttps://creativecommons.org/licenses/by-nc/4.0/
dc.subjectFinancial conditions indicesen_US
dc.subjectForeign currency futuresen_US
dc.subjectHedgersen_US
dc.subjectNet positionsen_US
dc.subjectSpeculatorsen_US
dc.titleAre key market players in currency derivatives markets affected by financial conditions?en_US
dc.typeReviewen_US

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