博碩士論文 994409001 詳細資訊



以作者查詢圖書館館藏 、以作者查詢臺灣博碩士 、以作者查詢全國書目 、勘誤回報 、線上人數：28 、訪客IP：18.118.162.166
姓名 張雅婷(Ya-Ting Chang)  查詢紙本館藏   畢業系所 經濟學系
論文名稱
(Liquidity in the Foreign Exchange Market)
檔案 [Endnote RIS 格式]    [Bibtex 格式]    [相關文章]   [文章引用]   [完整記錄]   [館藏目錄]   [檢視]  [下載]
  1. 本電子論文使用權限為同意立即開放。
  2. 已達開放權限電子全文僅授權使用者為學術研究之目的，進行個人非營利性質之檢索、閱讀、列印。
  3. 請遵守中華民國著作權法之相關規定，切勿任意重製、散佈、改作、轉貼、播送，以免觸法。

摘要(中) 本文旨在研究流動性風險對貨幣的影響。第一篇論文研究在2008-2009全球金融危機和2009-2011歐洲主權債務危機期間，各個貨幣對流動性共變的動態現象。研究發現，在危機期間或新聞公告期間所引發的市場不確定性時，個別貨幣對的流動性與系統性的流動性之間存在較強的流動性共變的現象。 這一發現意味著在金融危機時期新聞公告具有重要作用。第二篇論文調查不同貨幣之間流動性風險如何發生以及為何會產生流動性風險的現象。透過向量自回歸的研究方法，本文發現在市場不確定時期有很強的溢出效應。此時市場之間流動性風險有明顯增長的趨勢，突顯了危機期間崩盤風險的作用。此外本文發現流動性外溢的強度與總體經濟面的因素有關。
摘要(英) In this dissertation, I investigate the effect of liquidity risk on currency. The first essay study dynamics in liquidity commonality across currencies during the 2008-2009 global financial crisis and the 2009-2011 European sovereign debt crisis. This study found that during the crisis period or the uncertainty triggered by the news release, there exist stronger comovement between liquidity in individual currency pairs and the aggregate systematic liquidity among many currency pairs. This finding implies that that news releases have important functions in times of financial crisis. The second essay investigates how and why liquidity risks spread across currencies. In the framework of vector auto-regression, I discovered strong spillovers during market uncertainty period. Liquidity risk among markets increases obviously at this time highlighting the role of crash risk during the crises. In addition, I find that the strength of liquidity spillovers is related to the macroeconomic economy.
關鍵字(中) ★ 外匯市場
★ 流動性		 關鍵字(英) ★ Foreign Exchange Market
★ Liquidity
論文目次 1 Introduction 1
2 Liquidity Commonality in the Foreign Exchange Market 3
2.1 Introduction . . . . . . . . . . . . . . . . . . . 3
2.2 Literature Reviews . . . . . . . . . . . . . . . . 7
2.3 Data . . . . . . . . . . . . . . . . . . . . . . . 8
2.3.1 The EBS Data . . . . . . . . . . . . . . . . . . 8
2.3.2 The Macroeconomic Announcements Data . . . . . . 9
2.4 Liquidity Commonality . . . . . . . . . . . . . . 12
2.4.1 Liquidity Measures . . . . . . . . . . . . . . 12
2.4.2 Commonality liquidity across exchange rates . . 18
2.5 Empirical Result . . . . . . . . . . . . . . . . 21
2.5.1 Liquidity commonality for FX market . . . . . . 21
2.5.2 Liquidity commonality around macroeconomic economic announcements . . . . . . . . . . . . . . . . . . . . 26
2.5.3 Liquidity commonality around monetary policy announcements . . . . . . . . . . . . . . . . . . . . 32
2.5.4 Determinants of FX global-wide systematic liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
2.6 Conclusions . . . . . . . . . . . . . . . . . . . 43
3 Liquidity Spillover in the Foreign Exchange Market. 45
3.1 Introduction . . . . . . . . . . . . . . . . . . 45
3.2 Literature Reviews . . . . . . . . . . . . . . . 48
3.3 Methodology and Data . . . . . . . . . . . . . . 51
3.3.1 Liquidity risk measure . . . . . . . . . . . . 52
3.3.2 The model . . . . . . . . . . . . . . . . . . . 52
3.3.3 EBS Data . . . . . . . . . . . . . . . . . . . 55
3.4 Empirical Results . . . . . . . . . . . . . . . . 56
3.4.1 FX market liquidity risk connectedness . . . . 56
3.4.2 Rolling of total and directional connectedness 60
3.5 Conclusion . . . . . . . . . . . . . . . . . . . 67
4. Bibliography 68
參考文獻 Admati, A. R. and P. Pfleiderer (1988). A theory of intraday patterns: Volume and price variability. Review of Financial Studies 1(1): 3-40.
Amihud, Y. and H. Mendelson (1980). Dealership market: Market-making with inventory. Journal of Financial Economics 8(1): 31-53.
Andersen, T. G. and T. Bollerslev (1998). Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies. Journal of Finance 53(1): 219-265.
Andersen, T. G., T. Bollerslev, F. X. Diebold and C. Vega (2003). Micro effects of macro announcements: Real-time price discovery in foreign exchange. American Economic Review 93(1): 38-62.
Andersen, T. G., T. Bollerslev, F. X. Diebold and C. Vega (2007). Real-time price discovery in global stock, bond and foreign exchange markets. Journal of International
Economics 73(2): 251-277.
Antonakakis, N. (2012). Exchange return co-movements and volatility spillovers before and after the introduction of euro. Journal of International Financial Markets, Institutions and Money 22(5): 1091-1109.
Bank for International Settlements, 2010, July. The International Financial Crisis: Timeline, Impact and Policy Responses in Asia and the Pacific. Bank for International Settlements.
Bangia A., F. X. Diebold, T. Schuermann and J. D. Stroughair (1999), Modeling liquidity risk with implications for traditional market risk measurement and management. Working paper, Wharton School, Philadelphia 99-06.
Banti, C., K. Phylaktis and L. Sarno (2012). Global liquidity risk in the foreign exchange market. Journal of International Money and Finance 31(2): 267-291.
Banti, C. (2016). Liquidity risk in the stock and foreign exchange markets: As investigation of the cross-market dynamics. Journal of Financial Research 39(4): 411-436.
Barunik, J., E. Koˇcenda and L. Vacha (2017). Asymmetric volatility connectedness on the forex market. Journal of International Money and Finance 77: 39-56.
Bauwens, L., W. B. Omrane and P. Giot (2005). News announcements, market activity and volatility in the euro/dollar foreign exchange market. Journal of International Money and Finance 24(7): 1108-1125.
Berger, D. W., A. P. Chaboud, S. V. Chernenko, E. Howorka and J. H. Wright (2008). Order flow and exchange rate dynamics in electronic brokerage system data. Journal of
International Economics 75(1): 93-109.
Brockman, P., D. Y. Chung and C. Perignon (2009). Commonality in liquidity: A global perspective. Journal of Financial and Quantitative Analysis 44(04): 851-882.
Brunnermeier, M. K. and L. H. Pedersen (2009). Market liquidity and funding liquidity. Review of Financial Studies 22(6): 2201-2238.
Buabk, V., E. Koˇcenda and F. ?ike? (2011). Volatility transmission in emerging European foreign exchange markets. Journal of Banking & Finance 35(11): 2829-2841.
Cespa, G. and T. Foucault (2014). Liquidity risk contagion and liquidity crashes. The Review of Financial Studies 27(6): 1615-1660.
Chaboud, A., S. Chernenko and J. H. Wright (2007). Trading activity and exchange rates in high-frequency EBS data. FRB International Finance Discussion Paper 903.
Chordia, T., R. Roll and A. Subrahmanyam (2000). Commonality in liquidity. Journal of Financial Economics 56(1): 3-28.
Chordia, T., R. Roll and A. Subrahmanyam (2001). Market liquidity and trading activity. Journal of Finance 56(2): 501-530.
Chordia, T., A. Sarkar and A. Subrahmanyam (2005). An empirical analysis of stock and bond market liquidity. Review of Financial Studies 18(1): 85-129.
Corielli, F. and M. Marcellino (2006). Factor based index tracking. Journal of Banking & Finance 30(8): 2215-2233.
Coughenour, J. F. and M. M. Saad (2004). Common market makers and commonality in liquidity. Journal of Financial Economics 73(1): 37-69.
Ehrmann, M. and M. Fratzscher (2005). Exchange rates and fundamentals: New evidence from real-time data. Journal of International Money and Finance 24(2): 317-341.
Diebold, F. X. and K. Yilmaz (2015). Financial and macroeconomic connectedness: A network approach to measurement and monitoring. Oxford University Press, USA.
Diebold, F. X. and M. Nerlove (1989). The dynamics of exchange rate volatility: a multivariate latent factor ARCH model. Journal of Applied econometrics 4(1): 1-21.
Evans, M. D. and R. K. Lyons (2002). Time-varying liquidity in foreign exchange. Journal of Monetary Economics 49(5): 1025-1051.
Evans, M. D. and R. K. Lyons (2005). Do currency markets absorb news quickly? Journal of International Money and Finance 24(2): 197-217.
Evans, M. D. and R. K. Lyons (2008). How is macro news transmitted to exchange rates? Journal of Financial Economics 88(1): 26-50.
Engle, R., T. Ito and W. L. Lin (1990). Meteor showers or heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market. Econometrica 58(3)" 525-42.
Fawley, B.W. and C. J. Neely (2013). Four stories of quantitative easing. Review-Federal Reserve Bank of St. Louis 95(1): 51-88.
Federal Reserve Bank of St. Louis, 2009. The Financial Crisis: A Timeline of Events and Policy Actions. http://timeline.stlouisfed.org
Fernando, C. S. (2003). Commonality in liquidity: Transmission of liquidity shocks across investors and securities. Journal of Financial Intermediation 12(3): 233-254.
Fleming, M. J. and E. M. Remolona (1999). Price formation and liquidity in the US Treasury market: The response to public information. Journal of Finance 54(5): 1901-1915.
Forni, M., M. Hallin, M. Lippi and L. Reichlin (2000). The generalized dynamic-factor model: Identification and estimation. Review of Economics and Statistics 82(4): 540-554.
Forni, M., M. Hallin, M. Lippi and L. Reichlin (2003). Do financial variables help forecasting inflation and real activity in the euro area? Journal of Monetary Economics 50(6): 1243-1255.
Forni, M., M. Hallin, M. Lippi and L. Reichlin (2005). The generalized dynamic factor model. Journal of the American Statistical Association 100(471): 830-840.
Greenwood-Nimmo, M., V. H. Nguyen and B. Rafferty (2016). Risk and return spillovers among the G10 currencies. Journal of Financial Markets: 31, 43-62.
Hallin, M., C. Mathias, H. Pirotte and D. Veredas (2011). Market liquidity as dynamic factors. Journal of Econometrics 163(1): 42-50.
Hameed, A., W. Kang and S. Viswanathan (2010). Stock market declines and liquidity. Journal of Finance 65(1): 257-293.
Hasbrouck, J. and D. J. Seppi (2001). Common factors in prices, order flows, and liquidity. Journal of Financial Economics 59(3): 383-411.
Ho, T. S. and H. R. Stoll (1983). The dynamics of dealer markets under competition. Journal of finance 38(4): 1053-1074.
Huberman, G. and D. Halka (2001). Systematic liquidity. Journal of Financial Research: 24(2), 161-178.
Inagaki, K. (2007). Testing for volatility spillover between the British pound and the euro. Research in International Business and Finance 21(2): 161-174.
Kamara, A., X. Lou and R. Sadka (2008). The divergence of liquidity commonality in the cross-section of stocks. Journal of Financial Economics 89(3): 444-466.
Karnaukh, N., A. Ranaldo and P. Soderlind (2015). Understanding FX liquidity. Review of Financial Studies 28(11): 3073-3108.
Karolyi, G. A., K.-H. Lee and M. A. Van Dijk (2012). Understanding commonality in liquidity around the world. Journal of Financial Economics 105(1): 82-112.
Kitamura, Y. (2010). Testing for intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc markets. Research in International Business and Finance: 24(2), 158-171.
Kim, O. and R. E. Verrecchia (1994). Market liquidity and volume around earnings announcements. Journal of Accounting and Economics 17(1): 41-67.
Korajczyk, R. A. and R. Sadka (2008). Pricing the commonality across alternative measures of liquidity. Journal of Financial Economics 87(1): 45-72.
Koski, J. L. and R. Michaely (2000). Prices, liquidity, and the information content of trades. Review of Financial Studies 13(3): 659-696.
Kyle, A. S. (1985). Continuous auctions and insider trading. Journal of the Econometric Society 53(6): 1315-1335.
Luciani, M. and D. Veredas (2015). Estimating and forecasting large panels of volatilities with approximate dynamic factor models. Journal of Forecasting 34(3): 163-176
Ludvigson, S. C. and S. Ng (2007). The empirical risk-return relation: A factor analysis approach. Journal of Financial Economics 83(1): 171-222.
Ludvigson, S. C. and S. Ng (2009). Macro factors in bond risk premia. Review of Financial Studies 22(12): 5027-5067.
Mancini, L., A. Ranaldo and J.Wrampelmeyer (2013). Liquidity in the foreign exchange market: Measurement, commonality, and risk premiums. Journal of Finance 68(5): 1805-1841.
McMillan, D. G. and A. E. Speight (2010). Return and volatility spillovers in three euro exchange rates. Journal of Economics and Business 62(2): 79-93.
Melvin, M. and M. P. Taylor (2009). The crisis in the foreign exchange market. Journal of International Money and Finance 28(8): 1317-1330.
Newey, W. K. and K. D. West (1987). Hypothesis testing with efficient method of moments estimation. International Economic Review 28(3): 777-787.
O’Hara, M. and G. S. Oldfield (1986). The microeconomics of market making. Journal of Financial and Quantitative analysis 21(4): 361-376.
Omrane, Walid Ben, and Christian Hafner (2015). Macroeconomic news surprises and volatility spillover in foreign exchange markets. Empirical Economics 48.2 (2015): 577-607.
Opschoor, A., N. Taylor, M. Van derWel and D. van Dijk (2014). Order flow and volatility: An empirical investigation. Journal of Empirical Finance 28: 185-201.
Ranaldo, A. and P. Soderlind (2010). Safe haven currencies. Review of Finance 14(3): 385-407.
Rime, D. (2003). New electronic trading systems in the foreign exchange market, in The New Economy Handbook (Elsevier Science, USA), 469-504.
Rime, D., L. Sarno and E. Sojli (2010). Exchange rate forecasting, order flow and macroeconomic information. Journal of International Economics 80(1): 72-88.
Rosch, C. G. and C. Kaserer (2013). Market liquidity in the financial crisis: The role of liquidity commonality and flight to quality. Journal of Banking & Finance 37(7): 2284-2302.
Stock, J. H. & M. W. Watson (1998) Diffusion Indexes. NBER Working Papers 6702.
Stock, J. H. and M. W. Watson (2002a). Macroeconomic forecasting using diffusion indexes.
Journal of Business & Economic Statistics 20(2): 147-162.
Stock, J. H. and M.W.Watson (2002b). Forecasting using principal components from a large number of predictors. Journal of the American Statistical Association 97(460): 1167-1179.
Stoll, H. R. (1978). The supply of dealer services in securities markets. The Journal of Finance 33(4): 1133-1151.
Watanabe, A. (2004). Macroeconomic sources of systematic liquidity. University of Alberta Working Paper.
指導教授 徐之強 高櫻芬(Chih-Chiang Hsu Yin-Feng Gau) 審核日期 2018-7-30
推文 facebook   plurk   twitter   funp   google   live   udn   HD   myshare   reddit   netvibes   friend   youpush   delicious   baidu   
網路書籤 Google bookmarks   del.icio.us   hemidemi   myshare   

若有論文相關問題，請聯絡國立中央大學圖書館推廣服務組 TEL:(03)422-7151轉57407，或E-mail聯絡  - 隱私權政策聲明