Asymmetric responses of ask and bid quotes to information in the foreign exchange market

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题名:	Asymmetric responses of ask and bid quotes to information in the foreign exchange market
作者:	高櫻芬;Chen, Yu-Lun;Gau, Yin-Feng
贡献者:	管理學院財務金融學系
关键词:	Asked price;Bidding;Bid–ask spread;Common factor weight;Discovery;Dominance;Electronic commerce;Exchange market;Exchange rate determination;Foreign exchange controls;Foreign exchange markets;Foreign exchange rates;Information share;Kurtosis;Markets;Online securities trading;Order flow;Price control;Price discovery;Price stability;Price systems;Price theory;Prices;Rates of return;Skewness;Spread;Studies;Volatility
日期:	2014-01-01
上传时间:	2026-04-23 11:57:24 (UTC+8)
出版者:	Elsevier;Amsterdam: Elsevier B.V
摘要:	摘要： •We study the price discovery in a foreign exchange electronic limit order market.•We study the informativeness of ask and bid quotes in the price formation process.•The results show that bid quotes provide more price discovery than ask quotes. We study the price discovery in a foreign exchange electronic limit order market on a daily basis, by examining the informativeness of ask and bid quotes in the process of price formation. Using the data of prices and trades in the Euro–Dollar spot market via Electronic Broking Services (EBS), we find bid quotes provide more price discovery. This dominance of bid quotes in price discovery is stronger on Monday and is weaker on Friday. Asymmetries in the responses of ask and bid quotes to trade-related information evolve with daily order flow, daily return, the interactive term between spread and order flow, and the volatility, skewness, and kurtosis in the distribution of efficient exchange rate changes. 出版者： Amsterdam: Elsevier B.V 出版日期： 2014-01 出處： Journal of banking & finance, 2014-01, Vol.38, p.194-204 資源來源： Elsevier ScienceDirect Journals Complete 版權： 2013 Elsevier B.V. 版權： Copyright Elsevier Sequoia S.A. Jan 2014 識別號： ISSN: 0378-4266 識別號： EISSN: 1872-6372 識別號： DOI: 10.1016/j.jbankfin.2013.10.004 識別號： CODEN: JBFIDO
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