The subject of this thesis is to evaluate the main causes of instability in the foreign exchange market in selected countries. The first part is devoted to a summary of the basic theoretical knowledge about the foreign exchange market, its organization and operations of entities intended to hedge against exchange rate risk. The second part focuses on the exchange rate systems. The third chapter focuses on chosen economies, which are included in the final analysis. The main point of the analytical part is focused on the development of turnover on the foreign exchange market in selected countries in terms of the nature of the operations, currency and traded entities. The comparison of the dynamics and structure of the foreign exchange market turnover in selected countries, the system takes into account the applicable exchange rate. Sweden, Denmark, Hungary and Bulgaria were chosen for the analysis, performed during the period 2002 - 2011

This thesis models the Australian-US Dollar (AUD/USD) exchange rate with particular attention being paid to investor risk aversion. Accounting for investor risk aversion in AUD/USD exchange rate modelling is novel, so too is the method used to measure risk aversion in this thesis. Investor risk aversion is measured using a technique developed in Bliss and Panigirtzoglou (2004), which makes use of Probability Density Functions (PDFs) extracted from option markets. More conventional approaches use forward-market pricing or Uncovered Interest Parity. Several methods of estimating PDFs from option and spot markets are examined, with the estimations from currency spot-markets representing an original application of an arbitrage technique developed in Stutzer (1996) to the AUD/USD exchange rate. The option and spot-market PDFs are compared using their first four moments and if estimated judiciously, the spot-market PDFs are found to have similar shapes to the option-market PDFs. So in the absence of an AUD/USD exchange rate options market, spot-market PDFs can act as a reasonable substitute for option-market PDFs for the purpose of examining market sentiment. The Relative Risk Aversion (RRA) attached to the AUD/USD, the US Dollar-Japanese Yen, the US Dollar-Swiss Franc and the US-Canadian Dollar exchange rates is measured using the Bliss and Panigirtzoglou (2004) technique. Amongst these exchange rates, only the AUD/USD exchange rate demonstrates a significant level of investor RRA and only over a weekly forecast horizon. The Bliss and Panigirtzoglou (2004) technique is also used to approximate a time-varying risk premium for the AUD/USD exchange rate. This risk premium is added to the cointegrating vectors of fixed-price and asset monetary models of the AUD/USD exchange rate. An index of Australia???s export commodity prices is also added. The out-of-sample forecasting ability of these cointegrating vectors is tested relative to a random walk using an error-correction framework. While adding the time-varying risk premium improves this forecasting ability, adding export commodity prices does so by more. Further, including both the time-varying risk premium and export commodity prices in the cointegrating vectors reduces their forecasting ability. So the time-varying risk premium is important for AUD/USD exchange rate modelling, but not as important as export commodity prices.

<p>With the development of the financial markets, the foreign exchange market has become more and more important for investors. The daily volume of business dealt with on the foreign exchange markets in 1998 was estimated to be over $2.5 trillion dollars (the daily volume on New York Stock Exchanges is about $20 billion). Today (2006) it may be about $5 trillion dollars. More and more people notice the foreign exchange market, and more and more sophisticated investors research such markets. The purpose of this thesis is to compare different methods to forecast the exchange rate of the money pair AUD/JPY. Firstly we studied the relationship between the AUD/JPY exchange rate and some economic fundamentals by using a regression model. Secondly, we tested whether the AUD/JPY exchange rate had any relationship with its historical records by using an ARIMA model. Finally, we compared the two model forecasting performance. A secondary purpose is to test whether the Market Efficiency Hypothesis works on the money pair AUD/JPY. In the study, data from January 1986 to June 2006 were chosen. To test which method produces better forecasts, we chose data from January 1986 to December 2002 to build up the prediction functions. Then we used the data from January 2003 to 2006 June to evaluate which predicting method was closer to the reality. In the comparison of the forecasting performances, two approaches dealing with the unknown future fundamentals were used. Firstly we assumed that we could do perfect predictions of these regressors, that was, our predictions of these regressors were the same as the actual future outcomes. So we put the real data for the fundamentals from January 2003 to June 2006 into the regression function. Secondly we assumed that we were in real life situation, and we had to predict the regressors first in order to get the predictions of the exchange rate. The results of the comparison were that the AUD/JPY exchange rate could to some extent be predictable, and that the predictions by the ARIMA model were more accurate.</p>

With the development of the financial markets, the foreign exchange market has become more and more important for investors. The daily volume of business dealt with on the foreign exchange markets in 1998 was estimated to be over $2.5 trillion dollars (the daily volume on New York Stock Exchanges is about $20 billion). Today (2006) it may be about $5 trillion dollars. More and more people notice the foreign exchange market, and more and more sophisticated investors research such markets. The purpose of this thesis is to compare different methods to forecast the exchange rate of the money pair AUD/JPY. Firstly we studied the relationship between the AUD/JPY exchange rate and some economic fundamentals by using a regression model. Secondly, we tested whether the AUD/JPY exchange rate had any relationship with its historical records by using an ARIMA model. Finally, we compared the two model forecasting performance. A secondary purpose is to test whether the Market Efficiency Hypothesis works on the money pair AUD/JPY. In the study, data from January 1986 to June 2006 were chosen. To test which method produces better forecasts, we chose data from January 1986 to December 2002 to build up the prediction functions. Then we used the data from January 2003 to 2006 June to evaluate which predicting method was closer to the reality. In the comparison of the forecasting performances, two approaches dealing with the unknown future fundamentals were used. Firstly we assumed that we could do perfect predictions of these regressors, that was, our predictions of these regressors were the same as the actual future outcomes. So we put the real data for the fundamentals from January 2003 to June 2006 into the regression function. Secondly we assumed that we were in real life situation, and we had to predict the regressors first in order to get the predictions of the exchange rate. The results of the comparison were that the AUD/JPY exchange rate could to some extent be predictable, and that the predictions by the ARIMA model were more accurate.

Magistro darbe yra analizuojama: techninės analizės praktinis pritaikymas Forex rinkoje, rizikos įvertinimas ir portfelio sudarymas. Pagrindinis darbo tikslas ištirti investicijas Forex rinkoje ir jas pagrįsti naudojant investicijų ekonominę analizę. Darbe išnagrinėti pagrindiniai indikatoriai: slankiųjų vidurkių divergencija konvergencija, Bolingerio ribos, santykinis stiprumas, stochastikas. Šiais indikarotiais nustatyti pagrindiniai signalai ir apskaičiuotas pelnas punktais. Taip pat apskaičiuota kiekvienos valiutos rizika, su kuria susiduria kiekvienas investuotojas. Norint gauti maksimalų pelną buvo sudarytas Markowitz portfelis. / This master's work is analyzing: practical application of technical analysis in the Forex market, risk assessment and creating portfolio. The main goal of the work is to explore the investments in Forex market and to substantiate them using investment economic analysis. The main indicators are analyzed in the work: Moving Average Convergence/Divergence, Bollinger bands, Relative Strength Index, Stochastic oscillator. These indicators identify the key signals and the estimated gain points. Also was calculated the risks of each currency faced by each investor. In order to get the maximum profit was made Markowitz portfolio.

在本篇研究中，我們考慮了未預料到的訊息進而檢定歐元兌美元外匯市場的效率性。並且，我們將資料分為金融海嘯發生前後兩段期間，資料頻率為日資料。有別於之前文獻使用的訊息不完整且可能不為真實的訊息，我們考慮了所有美國及歐盟定期公布的相關經濟數據與指標，並定義未預料到訊息為數據真實質與預期值之間的差距。我們的實證結果指出，在金融海嘯前，是接受市場效率性假說的，雖然此一結果在金融海嘯發生後並不成立，但未預料到訊息的衝擊，確實會影響外匯市場效率性檢定的結果。因此過去文獻無法支持市場效率性假說之原因可能源自於忽略了未預料訊息的考量。另外，我們也發現，美國訊息與歐盟訊息存在不對稱的影響力，且市場傾向於忽略歐盟區的數據。 / In this paper, we examine the hypothesis of market efficiency in euro/dollar with un-anticipated news, which are defined as the difference between actual values and the market’s forecasts. The research data are divided into two periods of time, before and after the beginning of financial crisis. Unlike previous literatures in which the un-anticipated news are incomplete and may be unreal, our paper adopted all macroeconomic announcements and indicators of United States and the European Union. Our results before the financial crisis indicate that the market efficiency hypothesis is accepted, although the result fails to hold after the financial crisis. The result still shows the importance of the un-anticipated news in testing the foreign exchange market efficiency hypothesis. Therefore the rejection of efficiency hypothesis on foreign exchange market in the literature may result from the lack of un-anticipated news in the model. In addition, we found that impacts of U.S. and EU un-anticipated news are asymmetric on the exchange rate. Besides, the market participants tend to ignore the EU news during both periods of time.

This thesis models the Australian-US Dollar (AUD/USD) exchange rate with particular attention being paid to investor risk aversion. Accounting for investor risk aversion in AUD/USD exchange rate modelling is novel, so too is the method used to measure risk aversion in this thesis. Investor risk aversion is measured using a technique developed in Bliss and Panigirtzoglou (2004), which makes use of Probability Density Functions (PDFs) extracted from option markets. More conventional approaches use forward-market pricing or Uncovered Interest Parity. Several methods of estimating PDFs from option and spot markets are examined, with the estimations from currency spot-markets representing an original application of an arbitrage technique developed in Stutzer (1996) to the AUD/USD exchange rate. The option and spot-market PDFs are compared using their first four moments and if estimated judiciously, the spot-market PDFs are found to have similar shapes to the option-market PDFs. So in the absence of an AUD/USD exchange rate options market, spot-market PDFs can act as a reasonable substitute for option-market PDFs for the purpose of examining market sentiment. The Relative Risk Aversion (RRA) attached to the AUD/USD, the US Dollar-Japanese Yen, the US Dollar-Swiss Franc and the US-Canadian Dollar exchange rates is measured using the Bliss and Panigirtzoglou (2004) technique. Amongst these exchange rates, only the AUD/USD exchange rate demonstrates a significant level of investor RRA and only over a weekly forecast horizon. The Bliss and Panigirtzoglou (2004) technique is also used to approximate a time-varying risk premium for the AUD/USD exchange rate. This risk premium is added to the cointegrating vectors of fixed-price and asset monetary models of the AUD/USD exchange rate. An index of Australia???s export commodity prices is also added. The out-of-sample forecasting ability of these cointegrating vectors is tested relative to a random walk using an error-correction framework. While adding the time-varying risk premium improves this forecasting ability, adding export commodity prices does so by more. Further, including both the time-varying risk premium and export commodity prices in the cointegrating vectors reduces their forecasting ability. So the time-varying risk premium is important for AUD/USD exchange rate modelling, but not as important as export commodity prices.

This diploma thesis analyses the market efficiency hypothesis of chosen currency pairs EUR/USD, EUR/CZK and USD/CZK. The aim of this study is to describe the price behaviour of chosen financial assets and verify the random walk hypothesis on the foreign exchange market. Model of random walk says there is no relationship between historical and future prices, so price changes are random and cannot be predicted. Random walk hypothesis was tested by chosen statistic tests runs test, test of auto-correlation, variance ratio test and unit root test (Augmented Dickey-Fuller Test). Data were collected through the online trading platform and tested in EViews. Period of testing for daily changes (D1) was chosen from 31.12.2009 to 29.12.2017 and for weekly changes (T1) from 2.1.2005 to 29.12.2017. This thesis proved weak-form efficiency of EUR/USD and USD/CZK for both daily changes and weekly changes in a chosen period. Inefficient behaviour of daily changes of EUR/CZK (D1) was indicated by runs test, test of autocorrelation and variance ratio test. There is a question what the cause of inefficiency is. The most likely explanation is currency intervention of the Czech National Bank which took place from April 2013 to April 2017 in order to achieve the inflation target and prevent deflation. Traders could also achieve profits by speculating on appreciation of Czech Crown below 27,-crowns/euro which is not in harmony with efficient-market hypothesis. Moreover, currency pair EUR/CZK is not liquid as major currency pairs and there are bigger transaction costs because of bid-offer spread. This work can contribute to next research in connection with results of this study. To verify if the cause of inefficient behaviour of daily price changes of EUR/USD are currency interventions of the Czech National Bank, I would suggest testing efficient-market hypothesis exactly at the time of interventions. It would be also suitable to compare results of different methodologies including testing in short-time intervals of price changes.

This thesis is focused on selected methods of the technical analysis and their application on foreign exchange rate. The goal is to evaluate the usability of individual methods in the field of foreign exchange market. The main emphasis is on moving averages, but also other methods are tested. For the purpose of evaluation is used the profitability of tested methods or other suitable characteristics. The methods of technical analysis are theoretically described in the first part of this thesis and in the second part follows their testing with the use of real data and the evaluation of their performance.

The subject of thesis "Influence of big sports events on exchange rates" is to analyse movement of exchange rates during sports events. Currency pairs are studied for this purpose in various time periods. Technical indicators from technical analysis are used to identify similar elements in movement of exchange rates. Results of analysis answer the question, whether sports events such as Olympic Games or world championship can influence exchange rate.