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研究生:彭雅玲
研究生(外文):Ya-Ling Peng
論文名稱:外匯交易量與買/賣報價之動態交互關係研究
論文名稱(外文):Dynamic Interrelationships Between Bid/Ask Quotes and Trading Volume in the Foreign Exchange Market
指導教授:高櫻芬高櫻芬引用關係
指導教授(外文):Yin-Feng Gau
學位類別:碩士
校院名稱:國立暨南國際大學
系所名稱:國際企業學系
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:中文
論文頁數:82
中文關鍵詞:買/賣報價價差交易量報價修正不對稱資訊報價頻率外匯市場市場微結構理論
外文關鍵詞:bid/ask quotesspreadforeign exchange volumequote revisionsasymetric informationquote frequencyforeign exchange marketmarket microstructure
相關次數:
  • 被引用被引用:6
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  • 下載下載:239
  • 收藏至我的研究室書目清單書目收藏:2
外匯市場之交易機制與股票市場大相逕庭, 因此價格形成過程未必相同, 然而文獻上多著墨於股票市場微結構之分析, 對於外匯市場之市場微結構研究並不多見, 所以本文以日圓對美元匯率之外匯市場為對象, 探討外匯市場中買賣價之動態關係, 期能進一步了解外匯市場之市場微結構。
檢視Hasbrouck(1991a,1991b)後發現, 因其忽略買賣價之不對稱變動行為, 若使用報價中點為衡量交易資訊性的價格變數, 無法反映所有的市場資訊, 因此, 本研究將買/賣報價分離, 並估計一買價報價修正、買價報價修正及報價頻率的雙元變數ECM模型。
實證結果發現, 價差對賣價修正(ask price revision)為顯著的負向影響, 對買價修正(bid price revision)為顯著的正向影響, 即價差將隨著不對稱資訊程度變少而持續減小, 市場存在長期的均衡價差。其次, 買價(賣價)修正與其遞延項的買價(賣價)修正間, 有顯著負的自我相關, 前期買價(賣價)修正對本期的賣價(買價)修正有顯著的正向影響。 又前期價差對交易量呈現顯著的負向影響效果, 因價差變大會減少交易者的利潤, 交易因此變少。 此外, 在加入 「大交易量」的虛擬變數後, 虛擬變數與價差間呈現正向關係, 證實不對稱資訊的存在。
Since the market structure and trading mechanism of stock and foreign exchange markets are different, the formation of prices in the two markets can be not the same. However, most studies on market microstructure focus on the analysis of stock market, ignoring the market microstructure of foreign exchange market. The purpose of this thesis is to fill such void, using the exchange rate of the Japanese Yen to US Dollar to study the dynamic interrelation of bid and ask quotes in the currency market.
The use of quotes midpoint to characterize the information in market prices in Hasbrouck (1991a, 1991b) ignored the asymmetric effect of bid/ask quotes, and might miss some important information, because the bid/ask quotes midpoint variations can’t fully reflect all of market information. In this thesis, the bid and ask quotes are studied individually by a bivariate error-correction model.
The empirical results show that bid-ask spreads have a negative influence on ask quote revisions and a positive effect on bid quote revisions. That is there exists a long-term equilibrium spread in the currency market of Japanese Yen. Furthermore, bid (or ask) quote revisions and its lagged quote revision are negatively serial correlated. Bid (or ask) quote revisions of date t-1 have positive effects on ask (or bid) quote revisions of date t. Moreover, the spread of date t-1 has negative effects on the trading volume of date t. After adding the dummy variable “big trading volume” into the model, we find a positive impact on the spread. It suggests the existence of asymmetric information in the foreign exchange market.
第一章 緒 論--------------------------------------------------- 1
第一節 研究動機與背景---------------------------------- 1
第三節 研究目的----------------------------------------------- 6
第三節 研究架構與流程-------------------------------------- 7
第二章 文獻回顧---------------------------------------------- -8
第一節 制度基礎與市場差異--------------------- -8
第二節 買/賣價差與交易量之相關文獻------------- 16
第三節 買/賣報價修正之相關文獻-------------------------------- 30
第三章 資料說明與研究設計------------------------------ 34
第一節 資料說明與市場結構----------------------------------- 34
第二節 變數定義與說明------------------------------------ 38
第三節 研究方法與實證模型-------------------------------- 42
第四章 實證結果------------------------------------------------ 52
第一節 資料檢驗--------------------------------------------------------- 52
第二節 實證結果------------------------------------------ 55
第伍章 結論與建議----------------------------------------------- 67
第一節 結論--------------------------------------------------- 67
第二節 建議與研究限制---------------------------------- 69
參考文獻----------------------------------------------------------- 71
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