中大機構典藏-NCU Institutional Repository-提供博碩士論文、考古題、期刊論文、研究計畫等下載:Item 987654321/62865
English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 69937/69937 (100%)
造訪人次 : 23146222      線上人數 : 398
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧:
  • 您可在西文檢索詞彙前後加上"雙引號",以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋,建議至進階搜尋限定作者欄位,可獲得較完整資料
  • 進階搜尋


    請使用永久網址來引用或連結此文件: http://ir.lib.ncu.edu.tw/handle/987654321/62865


    題名: 總體經濟訊息與外匯市場的交易活動;Macroeconomic Information and Trading Activities in the Foreign Exchange Market
    作者: 高櫻芬
    貢獻者: 國立中央大學財務金融學系
    關鍵詞: 財政(含金融;保險)
    日期: 2013-12-01
    上傳時間: 2014-03-17 14:06:20 (UTC+8)
    出版者: 行政院國家科學委員會
    摘要: 研究期間:10208~10307;Macroeconomic Information and Trading Activities in the Foreign Exchange Market Using the data from the Electronic Broking Services (EBS), which operates an electronic (order driven) broker among foreign exchange (FX) interbank transactions across the globe in major currencies, this project studies the price formation and trading activities in the FX interdealer market around real-time macroeconomic announcements. This project provides evidence on how FX dealers interact and respond to information uncertainty and information asymmetry arisen from news events. Using the EUR-USD and USD-JPY quotes, deal prices, and trade size from the EBS from the period between 2009 and 2012, this project will investigate two related themes regarding FX interdealer market activities in two years. In the first year, I will study the response of exchange rate movements to order flow and real-time macroeconomic news. This project considers important macroeconomic announcements in the Japan, U.S., and Euro-area. After grouping orders in a 5-minute interval into three categories by the extent of aggressiveness, we can investigate how the macroeconomic information is incorporated into exchange rates through marketable orders, impatient limit orders, and patient limit orders. In the second year, I further study order submission strategies around the release time of macroeconomic news . In principal, the year-1 sub-project can identify how trade informativeness differs with the aggressiveness of order in the EBS interdealer spot market and examine how “non-common knowledge” information from a piece of macroeconomic news is transmitted into exchange rates through various type of orders by aggressiveness. The year-2 sub-project provides insights on dealers' reactions to information uncertainty prior to a macroeconomic announcement, as well as the information asymmetry arising from dealers' heterogeneous expectations on the fundamental value of exchange rate corresponding to a macroeconomic announcement.
    關聯: 財團法人國家實驗研究院科技政策研究與資訊中心
    顯示於類別:[財務金融學系] 研究計畫

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    index.html0KbHTML222檢視/開啟


    在NCUIR中所有的資料項目都受到原著作權保護.

    社群 sharing

    ::: Copyright National Central University. | 國立中央大學圖書館版權所有 | 收藏本站 | 設為首頁 | 最佳瀏覽畫面: 1024*768 | 建站日期:8-24-2009 :::
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回饋  - 隱私權政策聲明