外匯市場波動和交易量在52週高點與低點附近的變化;Volatility and volume around exchange rates’ 52-week highs and lows in the FX market

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Title:	外匯市場波動和交易量在52週高點與低點附近的變化;Volatility and volume around exchange rates’ 52-week highs and lows in the FX market
Authors:	全泓舟;HONGZHOU,QUAN
Contributors:	財務金融學系
Keywords:	52週高點與低點;錨定效應;外匯市場;52-week highs and lows;Anchoring;FX market
Date:	2015-07-06
Issue Date:	2015-09-23 11:57:13 (UTC+8)
Publisher:	國立中央大學
Abstract:	本文研究外匯市場中，當匯率接近52週高點與低點以及突破52週高點與低點時，外匯波動度與交易量的變化情況，並且預期使用錨定效應理論來解釋波動度以及交易量可能出現的異常現象。實證結果顯示當匯率接近52週高點與低點時，波動度會顯著下降，但交易量不顯著變化。當匯率突破52週高點與低點時，波動度因為貨幣對的不同，產生不同的變化，交易量此時不顯著變化。外匯市場上的錨定效應並不顯著存在。本文分析的資料庫EBS電子交易平台的交易資料，主要是銀行交易員在此系統交易，因此實證結果隱含銀行間市場的交易活動無錨定效應。股票市場上出現的投資者非理性可能導致交易者的錨定的想法，在決策上會出現一些不同於往常的行為偏差，但在外匯銀行間市場上，我們發現交易者並不明顯具備該行為偏差。;We analyze whether the event that exchange rates approach or break the 52-week highs and lows in the FX market have any effect on the volatility and volume patterns, and expect the anomalies will be consistent with the anchoring effect. The empirical study shows that volatilities decrease when the exchange rates approach the 52-week high 52-week low, but volumes don’t change significantly. Moreover, the response of volatilities to 52-week high and 52-week low vary with currencies. The anchoring effect does not have a significant influence on the FX trading. The data we use are collected through EBS trading system that is mainly used by traders in bank. Therefore, the empirical study implies that there is no anchoring effect in interbank market. The irrationality that appears in the stock market may result in the anchoring effect, leading behavioral bias in the investing decision. However, the irrationality does not exist in the FX interdealer market.
Appears in Collections:	[Graduate Institute of Finance] Electronic Thesis & Dissertation

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