外匯市場之波動度與訊息不對稱程度本計畫研究外匯市場上訊息的不對稱 (information asymmetry) 程度與匯率波動度 (volatility)之關係，共計三個研究子題，預計於三年內完成。第1 年子計畫探討高頻 (high frequency) 的日內 (intraday) 美元/日圓匯率與公開訊息及私有訊息之間的關連性，以美國及日本的總體經濟宣告為公開訊息之替代變數，以外匯買賣單流量(order flow)為私有訊息之替代變數，分析市場訊息對於匯率波動度的影響。第2 年子計畫進一步分析外匯市場上資訊不對稱 (information asymmetry) 的程度，並檢視資訊不對稱程度是否隨時間而變化，以及在美國及日本的總體經濟宣告發生時，資訊不對稱程度是否有所改變。第3 年子計畫分析匯率報價變化(quote revision)與外匯買賣單流量之間的動態關係，以Hasbrouck (1991) 的模型，計算外匯市場交易中私有訊息的含量，以深入分析外匯市場上私有資訊如何影響匯率的變化與外匯的交易活動。本研究所分析的匯率資料，為即期 (spot) 外匯的主要電子交易平台 – EBS (Electronic Broking Service) 提供的日內外匯交易資料。 Volatility and Information Asymmetry in the Foreign Exchange Market This project aims to study the market microstructure of foreign exchange market. In three years, this project will investigate how the information affects the exchange rate dynamics and its volatility. In the first year, the research will be focused on influences of private and public information on the intraday volatility in Japanese yen/dollar market. The public information is proxied by publicly available macroeconomic announcements released in US and Japan, and the private information is revealed from trading activities and order flows in the foreign exchange market of Japanese yen. In the second year, this study will investigate the information asymmetry in the foreign exchange market, and examine if the extent of information asymmetry in the market of Japanese yen varies with time. In particular, the research will analyze the difference of information asymmetry between business hours and non-business hours, between weekdays and weekend, and between times before and after news announcements released in US and Japan. In the third year, the purpose of research is to decompose the variance of efficient price into trade-correlated and trade-uncorrelated components, following the approach proposed by Hasbrouck (1991). In this way, the study of the content of private information allows us to measure the trade informativeness (the efficient price variance attributable to trades). The data used in this project are obtained from EBS (electronic Broking Service) which provides tick-by-tick global electronic broking bid-ask quotes, lowest given and highest paid transaction prices, and volume indicators. 研究期間：10008 ~ 10107
