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The Rise of Fund Managers in Foreign Exchange

Author

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  • Gehrig, Thomas
  • Menkhoff, Lukas

Abstract

This Paper analyses the behaviour and motivation of fund managers in foreign exchange markets reflected in questionnaire evidence. We find that fund managers and FX dealers differ significantly. Fund managers rely more on fundamentals, basically due to their longer forecasting horizons, and reject non-fundamental influences on exchange rates more than FX dealers. Neither can fund managers be considered as pure fundamentalists, however. Non-fundamentalist positions markedly influence short-term decision-making. They inspire ambivalent views about market imperfections and these views seem to become stronger over time. This latter change counterbalances the strengthening fundamental influences resulting from the rise of fund managers.

Suggested Citation

  • Gehrig, Thomas & Menkhoff, Lukas, 2004. "The Rise of Fund Managers in Foreign Exchange," CEPR Discussion Papers 4752, C.E.P.R. Discussion Papers.
    • Handle: RePEc:cpr:ceprdp:4752
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    Cited by:

    1. Tweneboah Senzu, Emmanuel, 2020. "Modern currency exchange rate behaviour and proposed trend-like forecasting model," MPRA Paper 99933, University Library of Munich, Germany.
    2. Stephan Schulmeister, 2009. "Technical Trading and Trends in the Dollar-Euro Exchange Rate," WIFO Studies, WIFO, number 37582.

    More about this item

    Keywords

    Foreign exchange; Market microstructure; Fund management; Fundamentals;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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