EBS外匯市場委託單之資訊內涵;Information Content of Orders in the Ebs Foreign Exchange Market

NCUIR > School of Management at National Central University > Department of Finance > Research Project > Item 987654321/62831

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/62831

Title:	EBS外匯市場委託單之資訊內涵;Information Content of Orders in the Ebs Foreign Exchange Market
Authors:	高櫻芬
Contributors:	國立中央大學財務金融學系
Keywords:	財政（含金融;保險）
Date:	2012-12-01
Issue Date:	2014-03-17 14:05:18 (UTC+8)
Publisher:	行政院國家科學委員會
Abstract:	研究期間：10108~10207;Using the data from the trading platform of Electronic Broking Services (EBS), which operates an electronic (order driven) broker among foreign exchange interbank transactions across the globe in major currencies, this project aims to study the information content of orders by type in the EUR-USD and USD-JPY markets. At first, we examine the subsequent return after trades to investigate whether trading profitability differs among different order types, including marketable orders, aggressive limit orders and passive limit orders. We further study the price impact of different types of orders in the EBS limit-order market, using the VAR (vector autoregression) approach of Hasbrouck (1991, 1996)
Relation:	財團法人國家實驗研究院科技政策研究與資訊中心
Appears in Collections:	[Department of Finance] Research Project

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