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Momentum Periods of Feedback Trading toward Exchange Rate Volatility

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  • Sudibyo, Ivan

Abstract

In this study, researcher provides empirical evidence of the importance of positive feedback trading factor for the behavior of the exchange rate. By relying on the model of the exchange rate Laopodis (2005) which is GARCH augmented feedback model, researcher analyzed autocorrelation parameters and volatility of exchange rates to gain more insight into the characteristics of the exchange rate induced by traders who follow positive feedback trading strategy. The alleged researcher are Positive feedback traders have an influence on the exchange rate volatility of ASEAN Countries and induce negative autocorrelation return during periods of high volatility. Results of the study are during the period 1995-2014, only Singapore that there is positive feedback trading significantly, while in the period 1997-1998 crises, Thailand, Indonesia, Malaysia, Philippines, Brunei, Singapore, there are any positive feedback trading significantly.

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  • Sudibyo, Ivan, 2021. "Momentum Periods of Feedback Trading toward Exchange Rate Volatility," SocArXiv yx8re_v1, Center for Open Science.
    • Handle: RePEc:osf:socarx:yx8re_v1
    DOI: 10.31219/osf.io/yx8re_v1
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    References listed on IDEAS

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