Impact of trading hours extensions on foreign exchange volatility:intraday evidence from the Moscow exchange

Using transaction-level tick-by-tick data of same-and next-day settlement of the Russian Ruble versus the US Dollar exchange rate(RUB/USD)traded on the Moscow Exchange Market during the period 2005–2013,we analyze the impact of trading hours extensions on volatility.During the sample period,the Moscow Exchange extended trading hours three times for the same-day settlement and two times for the next-day settlement of the RUB/USD rate.To analyze the effect of the implementations,various measures of historical and realized volatility are calculated for 5-and 15-min intraday intervals spanning a period of three months both prior to and following trading hours extensions.Besides historical volatility measures,we also examine volume and spread.We apply an autoregressive moving average-autoregressive conditional heteroscedasticity(ARMA-GARCH)model utilizing realized volatility and a trade classification rule to estimate the probability of informed trading.The extensions of trading hours cause a significant increase in both volatility and volume for further analyzing the reasons behind volatility changes.Volatility changes mostly occur after the opening of the market.The length of the extension has a significant positive effect on realized volatility.The results indicate that informed trading increased substantially after the opening for the rate of same-day settlement,whereas this is not observed for next-day settlement.Although trading hours extensions raise opportunities for more transactions and liquidity in foreign exchange markets,they may also lead to higher volatility in the market.Furthermore,this distortion is more significant at opening and midday.A potential explanation for the increased volatility mostly at the opening is that the trading hours extension attracts informed traders rather than liquidity providers.

The Impact of Unrealized Foreign Exchange Differences for Accounting and Taxation

The present study is intended to be an analysis of the main Romanian legal provision in what concerns the impact of foreign exchange differences and potential consequences at the level of financial statements for companies. In Romanian legislation, the issue of the foreign exchange differences is treated at a general level： these are recognized as a profit and loss item and as a consequence, they are included in the taxable base when booked in the accounting. Our legislation does not provide for specific treatments depending on the ＇realization momenf＇ of these differences or depending on the conditions for recognizing a gain/loss from foreign exchange differences. For the unrealized exchange differences arising from the application of accounting rules on monthly assessment of foreign currency monetary items, there is not a specific event or transaction to determine income or expenditure. This monthly review depending on the National Bank of Romania [BNR] foreign exchange rate valid on the last day of the month aims to bring closer to reality the financial position of an entity. The exchange rate is a monetary policy item set by the central bank and may be influenced by various factors such as： monetary policy of the BNR; inflation target objectives and rate of exchange stabilization or reduction efforts, as is the case of BNR in the last years to fulfill EU criteria for adoption of the EURO; periodical influences of speculative capitals on the exchange rate level; economic status and especially exports and imports. However, a taxpayer should not be charged unless there is evidence of the ＂economic enrichment＂ thereof. However, this enrichment, seen as a rising economic value of the company, depends on the perspective from which is seen： the owner of the company or the tax authorities. The exchange differences impact also the value of the owners＇ equity for which a minimum level is requested under the commercial company law. In case of negative values, this triggers various risks at the level of the continuity principle or even endangers the existence of the company.

The Influence of Bond Market Opening in Trade Field on RMB Internationalization Foreign Exchange Rate

In order to verify that the open bond market is the most direct choice to promote the internationalization of RMB,the empirical analysis method is used to analyze the impact of bond liberalization on the internationalization of RMB foreign exchange rate.Firstly,the data source processing method of empirical analysis is introduced.Then the dynamic panel data regression model and panel threshold model are built to verify the influence factors of RMB internationalization foreign exchange rate and the influence of debt market opening on RMB foreign exchange rate,respectively.The results show that the opening of the creditor's rights market has a significant positive promoting effect on the internationalization of RMB foreign exchange rate,and the development of the domestic creditor's rights market has a significant promoting effect on the internationalization of RMB foreign exchange rate.The study has a certain role in promoting the status of China's currency in the international community.

Analysis on Chinese Regional Differences in International Tourism Foreign Exchange Earnings with Method of One-way Variance Analysis

Based on data over 31 provinces and cities in China from2006 to 2013,this thesis first divides those 31 provinces and cities into four economic regions including northeastern region,central region,eastern region and western region.Based on data over 31 provinces and cities in China from 2006 to 2013,those 31 provinces and cities were devided into four economic regions in this thesis,including northeastern region,central region,eastern region and western region.Then,it takes international tourism foreign exchange earnings as the dependent variable,the four economic regions as the factor to measure the difference of international tourism foreign exchange earnings in different regions,and finds out the main reasons of it.Through the one-way variance analysis on international tourism foreign exchange earnings,we can know that international tourism foreign exchange earnings have differences in different regions apparently.Besides,significant differences can be found between northeastern and central regions as well as eastern and western regions,while it is not the same case between the central and western regions.

Regulations on Foreign Exchange System of the People′s RepubliC of China(PartⅡ)

Chapter VI Supervision and Management ●Article 33 The foreign exchange administration agencies shall carry out their responsibilities in accordance with laws and regulations and have the power to take the following measures: (1) Make on-the-spot inspection of financial institutions con- ducting foreign exchange operations;

Ice-breaking of Foreign Exchange Control

The tight foreign exchange control era has gone with ,wind, and foreigncurrency reserve of China now is up to 300 billion US dollars;once"the cuffof overseas investment",the foreign exchange control system will go where?

Foreign Exchange Rate Reform

China must expand opening up and develop foreign trade and economic cooperation to make the Chinese and international economies complementary and speed up the modernization drive. The most basic needs are to intensify restructuring of the foreign trade system, set up rules and regulations in line with the

Enterprises＇ foreign exchange risk management in the floating exchange risk era

Since the foreign exchange reform on July 21^st 2005, the flexibility of RMB exchange rate has becoming big, so has the foreign exchange risk. How to effectively manage foreign exchange risk has become an emergent task to enterprises. This paper introduces the method of foreign exchange forecast which is the base of foreign exchange risk management, and then deeply discusses different measures of managing the risk.

Regulations on Foreign Exchange Adjustment Market

Article 1. The regulations are promulgated in order to improve and develop the foreign exchange adjustment market, speed up the horizontal circulation of capital in foreign exchange and strengthen the macro-control of the foreign exchange market. Article 2. The State Exchange Control Administration is the governing body of the foreign exchange adjustment market.

China Foreign Exchange Trade System Opens in Shanghai

The China Foreign Exchange Trade System, the only national foreign exchange trading institution in China, officially opened for business at 15 Shanghai Bund, Shanghai, on April 18 this year. It marked the start of the first market prices for foreign exchange in the country. The opening of the system means that the relationship between

AMENDMENTS TO REGULATIONS FOR FOREIGN EXCHANGE CONTROL BY THE STATE COUNCIL

Recently,decision has been made by the State Council onthe amendments to the Regulations for foreign Exchange Controlof the People’s Republic of China".The following amendments to the "Regulations Foreign Ex-change Control of the People’s Republic of China" are decided bythe State Council:1.Add an article and become Article five "No restriction bythe State as to regular international payment and transfer".2.Article 13 Clause one become Article 14 Clause one,amendto read "Foreign exchange of private use by individuals can be pur-chased within the prescribed limit amount.Foreign exchange ofprivate use by individuals in excess of the prescribed limit amount,an application has to be filed with the Administration of ExchangeControl,and foreign exchange can be purchased after

NEW REGULATIONS OF CHECKING AND WRITING-OFF FOREIGN EXCHANGE PAYMENT FOR TRADE IMPORT

As from March 1,the State Administration of Exchange Con-trol will implement a new "Provisional Regulations of Checking,Writing-off and Supervising Foreign Exchange Payment for TradeImport".This is an important measure of reforming China’s for-eign exchange system, and is an afterwards supervising measure ofguaranteeing orderly proceeding of toreign exchange payment fortrade import after the exchange of regular items.One of the purpose of carrying out the new regulations is toform an afterwards supervising mechanism for foreign exchangeimport payment of regular items which guarantees the authenticityof foreign exchange import payment and orderly proceeding theexchange of Renminbi regular items;secondly,through examiningand verifying documents of foreign exchange import payment,veri-

Modelling State Foreign Exchange Reserves under the Managed Floating Exchange Rate System in China

The purpose of this paper is to investigate China′s state foreign exchange reserves growth using monthly data in the period January 1994 to December 1998. An economic model is constructed, with a view from its formation mechanism. Time series techniques are used to examine the long run relationship between foreign exchange reserves and the variables included in the model. Our empirical investigation revealed existence of a systematic long run relationship among foreign exchange reserves, exports, imports, and foreign direct investment. In the short run, the Asian financial crises have not significant effect on China′s foreign exchange reserves. Moreover, the recursive tests results indicated that the error correction model was structurally stable over the sample period, implying that the reserve holdings play a significant role in the balance payments adjustment process and separating China economy from the Asian financial crises.

An Analysis of the Determinants of the Changes in China's Foreign Exchange Reserves' Nominal and Real Rates of Return

We use decomposition and regression to examine the reasons for the changes in nominal and real rates of return of China＇s foreign exchange reserves between 2002 and 2009. The results show that the US financial market risk premium is the most important determinant of changes in the nominal rate of return, while the US dollar exchange rate and the bulk commodity price are the two key determinants of changes in the real rate of return. From empirically based research, one may conclude that the loose monetary policy of the US Federal Reserve increases China＇s foreign exchange reserves＇ nominal rate of return but decreases the real rate of return and that the European debt crisis has an uncertain impact on China＇s foreign exchange reserves＇ nominal rate of return but may well raise the real rate of return.

China's Rapid Accumulation of Foreign Exchange Reserves and Its Policy Implications

In late February 2006, China surpassed Japan to become the world＇s largest holder of foreign exchange reserves. Beijing is now faced with the growing challenge of how to handle these vast reserves effectively. Although China＇s soaring foreign exchange reserves indicate that its overall strength has grown, they have created internal and external pressures on the balance of the economy, and introduced risks to the financial system. It is estimated in the present study that foreign exchange reserves of approximately US$ 400bn in 2005 would have been appropriate under circumstances of a managed floating exchange rate regime and capital control. China ＇s actual reserves have far exceeded its normal demand. The objective of China is to maintain an optimal level that maximizes net benefits as a whole, Four main policv options are available for China to achieve its target： spending and investing foreign exchange reserves, gradual liberalization of the capital account, diversification of foreign exchange reserves and a switch in holders of foreign exchange reserves. Spending and investing in foreign exchange reserves can be undertaken in combination with liberalization in the capital account, given careful consideration of the risks involved. Liberalization should be extensive but gradual so that companies and individuals can adjust to changes in financial markets and manage portfolios while avoiding unnecessary risks.

Why China Should Invest Its Foreign Exchange Reserves in the Major US Banks

The subprime mortgage crisis and the resultant inflationary monetary policy in the USA have left the Chinese economy subject to four risks in particular. First, China＇s exports to the USA might continue to decline. Second in the medium term, the higher US inflation rate will lead to a weak dollar, which will negatively affect China＇s exports. Third in the long term, when the US Federal Reserve decreases money supply to control inflation, the US economy might enter another recession, hurting China ＂s exports further. Fourth, China＇s foreign exchange reserve assets might suffer heavy losses when the US inflation rate rises. Conventional foreign exchange investment strategies are insufficient for dealing with these four risks. Investment by China in the major US banks is suggested in the present paper. This strategy would mitigate if not eliminate all four risks. China could gain considerable financial returns on investments with only moderate risk.

Effectiveness of China’s Monetary Policy and Reform of Its Foreign Exchange System

This paper examines the effectiveness of China＇s monetary policy in curbing the overheating and speculation problems under the current foreign exchange system. The paper stresses the necessity of capital controls in China＇s gradual foreign exchange reform and the importance of credible government policy in guiding market expectations. Also, the paper discusses the persistence of China＇s external imbalance, and provides policy recommendations for its reduction.