| 摘要: | 傳統文獻以總體經濟變數嘗試尋找影響匯率變動的因素，但由於此資本市場分析法的失效，近期文獻結合市場微結構 (market microstructure) 的理論，試圖找出影響匯率變動的重要因素，如Evans and Lyons (2002) 使用買賣單流量 (order flow) 解釋馬克/美元匯率的變動，發現迴歸模型的解釋能力高達60%，因此他們主張買賣單流量中隱含了資訊交易的內涵，而且資訊交易 (informed trade) 確實會影響匯率變動。繼Evans and Lyons (2002) 後，Breedon and Vitale (2010) 認為買賣單流量對於匯率變動的影響應分為資訊交易和資產組合平衡 (portfolio balance) 效果，實證結果推翻資訊交易會影響匯率變動的說法。針對這些不一致的實證結果，本論文利用EBS (Electronic Broking Services) 外匯交易系統的歐元-美元和美元-日元交易資料，並計算Easley, Kiefer, O'Hara, and Paperman (1996) 所提出的PIN ( probability of informed trade ) 及Duarte and Young ( 1996 ) 所提出的AdjPIN (adjusted PIN)， 以捕捉資訊交易的現象，並證實資訊交易為影響匯率變動的重要因素。我們進一步以匯率變動率為應變數，PIN、AdjPIN、價差、買賣單流量和PSOS 為自變數，並進行OLS迴歸分析，實證結果指出AdjPIN、買賣單流量與匯率報酬的關係相當明顯，故我們認為資訊交易為影響匯率變動的重要因素之一，且買賣單流量依然為捕捉資訊交易現象的良好代理變數。值得一提的是，PIN在外匯市場中較無法捕捉資訊交易的現象。So far,traditional literature were trying to find the relationship between macroeconomic variables and exchange rate, but it didn’t work anymore. Recent literature wanted to via the view of market microstructure to find the factor that affect exchange rate, such as Evans and Lyons (2002), they explained the changes in the mark / dollar exchange rate by order flow, R2 is 60%, so they thought the order flow implied the information about information based trading. After Evans and Lyons (2002), Breedon and Vitale (2010) divided the order flow into information based trading and portfolio balanced effect, the empirical results show that only portfolio balanced effect can affect exchange rate. For these inconsistent empirical results, this paper uses the two exchange rate:Euro-Dollar and Dollar-Yen which , and calculate the PIN (probability, of informed trade) and AdjPIN (adjusted PIN), to capture the phenomenon of information based trading. We select PIN, Adjpin, PSOS, Spread and order flow as our independent variables in OLS. Our empirical results show that order flow and AdjPIN are better proxy variable for information based trading but not for PIN. |
