Prague Economic Papers 2011, 20(2):99-119 | DOI: 10.18267/j.pep.391

Empirical Test of the Efficiency of Currency Investments

Svend Reuse1, Martin Svoboda2
1 FOM University of Applied Science; Masaryk University Brno, CR; Sparkasse Mülheim an der Ruhr, Luxemburger Allee 121, DE - 45481, Mülheim (Svend.Reuse@gmx.de).
2 Masaryk University Brno, Lipova 41a, CZ - 602 00, Brno (svoboda@econ.muni.cz).

The 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 efficient asset classes is not finally answered in theory and practice. This article applies a modified historical simulation approach to shares, bonds and currencies. The questions according to the efficiency 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 efficient in general. Some specific cases exist. The used data lead to the result that the Czech koruna seems to be an efficient 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.

Klíčová slova: portfolio theory, financial crisis, historical simulation, currency investment, leveraging by currencies
JEL classification: F31, G11, G14, G15

Zveřejněno: 1. leden 2011  Zobrazit citaci

ACS AIP APA ASA Harvard Chicago Chicago Notes IEEE ISO690 MLA NLM Turabian Vancouver
Reuse, S., & Svoboda, M. (2011). Empirical Test of the Efficiency of Currency Investments. Prague Economic Papers, 20(2), 99-119. doi: 10.18267/j.pep.391
Stáhnout citaci
  • BibTeX (.bib)
  • Bookends (.ris)
  • EasyBib (.ris)
  • EndNote (.enw)
  • EndNote 8 (.xml)
  • ISI WoS (.isi)
  • Medlars (.medlars)
  • Mendeley (.ris)
  • MODS (.xml)
  • Papers (.ris)
  • RefWorks (.txt)
  • RefManager (.ris)
  • RIS (.ris)
  • MS Word (.xml)
  • Zotero (.ris)
    • Zobrazit celý článek

    Reference

    1. Blanchard, O., Illing, G. (2003), Makroökonomie (Macroeconomics). Munich: Pearson Education.
    2. Bleuel, H.-H. (2006), "Bestimmung und Steuerung des ökonomischen Wechselkursrisikos." (Definition and Controlling of the Economic Exchange Rate Risk) WISU - das Wirtschaftsstudium, 35(8-9), pp. 1054-1059.
    3. Bühler, W., Korn, O., Schmidt, A. (1998), "Ermittlung von Eigenkapitalanforderungen mit internen Modellen." (Quantification of equity requirements by the use of internal models) Die Betriebswirtschaft 58, pp. 65-85.
    4. Cassel, G. (1932), Theoretische Sozialökonomie. (Theoretic social economics) 5th Ed. Leipzig, Deichert.
    5. Cezanne, W. (1997), Allgemeine Volkswirtschaftslehre (Macroeconomics), 3rd Ed. Munich: Oldenbourg Publishers.
    6. DAI (2008), DAX-Renditen seit 1948 - Das DAI-Rendite-Dreieck (DAX Yields Since 1948 - the DAI Yield Triangle), June 2008.
    7. Dornbusch, R. (1976), "The Theory of Flexible Exchange Rate Regimes and Macroenonomic Policy." Scandinavian Journal of Economics 78(2), pp. 255-275. Přejít k původnímu zdroji...
    8. Frère, E., Reuse, S., Svoboda, M. (2008), Aktuelle Probleme im deutschen Bankensektor - eine kritische Analyse und mögliche Lösungsansätze. (Actual problems in the German banking sector - a critical analysis of the status quo and possible solutions) Essen: FOM Publishers.
    9. Friedrich, N. (2008), "Währungskredite - Einsatzmöglichkeiten in der Mittelstandsfinanzierung." (Foreign Currency Loans - Usage in the Medium-sized Businesses) in Goeke, M., ed., Praxishandbuch Mittelstandsfinanzierung (Practical Guide Medium-sized Businesses). Wiesbaden: Gabler Publishers, pp. 111-133. Přejít k původnímu zdroji...
    10. Goebel, R., Sievi, C., Schumacher, M. (1999), Wertorientiertes Management und Performancesteuerung. (Value oriented management and performance controlling) Stuttgart: German Savings Bank Publishers.
    11. Gontermann, A. (2005), "Das monetäre Wechselkursmodell." (The monetary exchange rate model) WISU - das Wirtschaftsstudium, 34(7), pp. 887-890.
    12. Kempa, B. (2001), "Die Zinsparität." (Yield parity) WISU - das Wirtschaftsstudium, 30(7), pp. 954-957.
    13. Krämer-Eis, H. (1998), Evaluierung hoheitlicher Länderrisiken. (Evaluation of sovereign risk) FriedrichSchiller-University of Jena 1998, available fromwww.wiwi.uni-jena.de/Papers/wp-b9801.pdf (Accessed on October 6th, 2010.)
    14. Linnertová, D., Reuse, S. (2008), "Using Commodities as a Strategy of Diversification - a Historical Analysis," in Vincent Šoltés, ed., National and Regional Economics VII, Ekonomická fakulta Technickej univerzity v Košiciach, October 3rd, 2008, pp. 554-561.
    15. Markowitz, H. M. (1952), "Portfolio Selection." The Journal of Finance, 7(1), pp. 77-91. Přejít k původnímu zdroji...
    16. Markowitz, H. M. (1987), Mean-Variance Analysis in Portfolio Choice and Capital Markets. Oxford: Basil Blackwell.
    17. Pohl, M., Schierenbeck, H. (2008), Renditeoptimierung durch die Verbesserung von Risikomodellen. (Yield Optimization by the Improvement of Risk Models). Union Investment Edition risk management 1.6, available from http://institutional.union-investment.de/-snm-01842333541286377624-072b100000-0000000268-1286387224-enm-docme/risikomanagement/isikomanagementordner/4d45826b019c17ad6e29cd211b3a7302.0.0/schierenbeck_081114.pdf (accessed on October 6th, 2010).
    18. Reuse, S. (2006), "Berechnung des Value-at-Risk mit der Monte-Carlo-Simulation." (Quantification of the VaR by the usage of the Monte-Carlo-Simulation) Bankpraktiker, 1(7-8), pp. 366-371.
    19. Reuse, S. (2007), Corporate Evaluation in the German Banking Sector. Wiesbaden: DUV Gabler Publishers.
    20. Reuse, S. (2008), "Definition und Ausprägung des Zinsänderungsrisikos (Definition and structure of interest rate risk." in Fröhlich, J., Geiersbach, K., Prasser, S., Rassat, T., Reuse, S., Steinwachs, P. eds., Zinsrisikomanagement. Heidelberg 2008, pp. 1-16.
    21. Reuse, S. (2009), "Sind Währungen effiziente Assetklassen? Eine kritische historische Analyse auf Basis der Portfoliotheorie." (Are Currencies Efficient Asset Classes? A Critical Historical Analysis on the Basis of the Portfolio Theory) Finanzbetrieb 11(5), pp. 273-281.
    22. Reuse, S. (2010), "Distribution of Share and Bond Prices - an Analysis with the Kolmogorov-Smirnov and Jarque Bera test via MS Excel at the Example of the German RexP and DAX." 2nd International PhD Conference - New Economic Challenges. 20.01.2010 - 21.01.2010, Brno 2010, pp. 85-91.
    23. Rittenbruch, K. (1995), Makroökonomie. (Macroeconomics), 9th Ed. Munich: Oldenbourg Publishers.
    24. Rolfes, B. (2008), Gesamtbanksteuerung. Stuttgart: Handelsblatt Publishers.
    25. Schierenbeck, H. (2001), Ertragsorientiertes Bankmanagement (Performance-oriented Bank Controlling), No. 2. 7th Ed. Wiesbaden: Gabler Publishers. Přejít k původnímu zdroji...
    26. Sharpe, W. F. (1964), "Capital Asset Prices, A theory of Market Equilibrium under Conditions of Risk." Journal of Finance 19(3), pp. 425-442. Přejít k původnímu zdroji...
    27. Sharpe, W. F. (1994), "The Sharpe Ratio." Journal of Portfolio Management, fall 1994, pp. 49-58. Přejít k původnímu zdroji...
    28. Svoboda, M. (2008), Index Investing. Brno: Computer Press.

    Tento článek je publikován v režimu tzv. otevřeného přístupu k vědeckým informacím (Open Access), který je distribuován pod licencí Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY NC ND 4.0), která umožňuje nekomerční distribuci, reprodukci a změny, pokud je původní dílo řádně ocitováno. Není povolena distribuce, reprodukce nebo změna, která není v souladu s podmínkami této licence.


    Zpět na obsah