摘要: This paper studies cross-market herding of speculators in the Canadian dollar, Swiss francs, British pound and Japanese yen futures markets from 6 October 1992 to 26 January 2010. The relations between (i) total speculation (long plus short), (ii) long (iii) short are investigated. empirical results present strong evidence short-run causal relationships speculative activities currency markets. There is a significant feedback effect (bidirectional causality) each pair speculation. In addition, impulse response analysis points positive interrelations trading activity therefore herding. Copyright © 2011 John Wiley & Sons, Ltd.
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