Empirical Test of the Efficiency of Currency Investments

J 2011

Empirical Test of the Efficiency of Currency Investments

SVOBODA, Martin a Svend REUSE

Základní údaje

Originální název

Empirical Test of the Efficiency of Currency Investments

Autoři

SVOBODA, Martin a Svend REUSE

Vydání

PRAGUE ECONOMIC PAPERS, Praha, Vysoká škola ekonomická, 2011, 1210-0455

Další údaje

Jazyk

angličtina

Typ výsledku

Článek v odborném periodiku

Obor

50200 5.2 Economics and Business

Stát vydavatele

Česká republika

Utajení

není předmětem státního či obchodního tajemství

Odkazy

URL

Impakt faktor

Impact factor: 0.256

Označené pro přenos do RIV

Ano

Kód RIV

RIV/00216224:14560/11:00054088

Organizační jednotka

Ekonomicko-správní fakulta

DOI

https://doi.org/10.18267/j.pep.391

UT WoS

000293323400001

Klíčová slova anglicky

portfolio theory; financial crisis; historical simulation; currency investment; leveraging by currencies

Změněno: 5. 5. 2020 16:01, Mgr. Michal Petr

Anotace

V originále

Portfolio theory and the basic ideas of Markowitz can be applied to currency investments as well as to classical asset classes as shares or bonds. The question whether currency investments can be treated as effi cient asset classes is not fi nally answered in theory and practice. This article applies a modifi ed historical simulation approach onto shares, bonds and currencies. The questions according to the effi ciency of currency investments are answered empirically from a Euro-investor’s point of view. The empirical analysis leads to the result that currency investments are not effi cient in general. Some specifi c cases exist. The used data lead to the result that the Czech Koruna seems to be an effi cient asset class and leveraging a Euro portfolio by other currencies is useful as well. But it has to be doubted if these effects will remain in the future.

Citovat

SVOBODA, Martin a Svend REUSE. Empirical Test of the Efficiency of Currency Investments. PRAGUE ECONOMIC PAPERS. Praha: Vysoká škola ekonomická, 2011, roč. 2011, č. 2, s. 99-119. ISSN 1210-0455. Dostupné z: https://doi.org/10.18267/j.pep.391.

@article{959892,
   author = {Svoboda, Martin and Reuse, Svend},
   article_location = {Praha},
   article_number = {2},
   doi = {https://doi.org/10.18267/j.pep.391},
   keywords = {portfolio theory; financial crisis; historical simulation; currency investment; leveraging by currencies},
   language = {eng},
   issn = {1210-0455},
   journal = {PRAGUE ECONOMIC PAPERS},
   title = {Empirical Test of the Efficiency of Currency Investments},
   url = {http://pep.vse.cz/artkey/pep-201102-0001_empirical-test-of-the-efficiency-of-currency-investments.php},
   volume = {2011},
   year = {2011}
}

TY  - JOUR
ID  - 959892
AU  - Svoboda, Martin - Reuse, Svend
PY  - 2011
TI  - Empirical Test of the Efficiency of Currency Investments
JF  - PRAGUE ECONOMIC PAPERS
VL  - 2011
IS  - 2
SP  - 99-119
EP  - 99-119
PB  - Vysoká škola ekonomická
SN  - 12100455
KW  - portfolio theory
KW  - financial crisis
KW  - historical simulation
KW  - currency investment
KW  - leveraging by currencies
UR  - http://pep.vse.cz/artkey/pep-201102-0001_empirical-test-of-the-efficiency-of-currency-investments.php
L2  - http://pep.vse.cz/artkey/pep-201102-0001_empirical-test-of-the-efficiency-of-currency-investments.php
N2  - Portfolio theory and the basic ideas of Markowitz can be applied to currency investments as well as to classical asset classes as shares or bonds. The question whether currency investments can be treated as effi cient asset classes is not fi nally answered in theory and practice. This article applies a modifi ed historical simulation approach onto shares, bonds and currencies. The questions according to the effi ciency of currency investments are answered empirically from a Euro-investor’s point of view. The empirical analysis leads to the result that currency investments are not effi cient in general. Some specifi c cases exist. The used data lead to the result that the Czech Koruna seems to be an effi cient asset class and leveraging a Euro portfolio by other currencies is useful as well. But it has to be doubted if these effects will remain in the future.
ER  -

SVOBODA, Martin a Svend REUSE. Empirical Test of the Efficiency of Currency Investments. \textit{PRAGUE ECONOMIC PAPERS}. Praha: Vysoká škola ekonomická, 2011, roč.~2011, č.~2, s.~99-119. ISSN~1210-0455. Dostupné z: https://doi.org/10.18267/j.pep.391.

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