Trading activities and price discovery in foreign currency futures markets

NCUIR > School of Management at National Central University > Department of Finance > journal & Dissertation > Item 987654321/105058

Please use this identifier to cite or link to this item: https://ir.lib.ncu.edu.tw/handle/987654321/105058

Title:	Trading activities and price discovery in foreign currency futures markets
Authors:	高櫻芬;Chen, Yu-Lun;Gau, Yin-Feng;Liao, Wen-Ju
Contributors:	管理學院財務金融學系
Keywords:	Accounting/Auditing;Commodity brokers;Commodity futures;Corporate Finance;Currency;Discovery;Econometrics;Economics and Finance;Efficacy;Expected values;Finance;Foreign exchange futures;Foreign exchange markets;Foreign exchange rates;Futures market;Futures trading;Hedging;Hypotheses;Liquidity;Market shares;Markets;Operations Research/Decision Theory;Original Research;Prices;Renminbi;Speculation;Studies;Trading;Volatility
Date:	2016-05-01
Issue Date:	2026-04-23 12:05:44 (UTC+8)
Publisher:	Springer New York;New York: Springer US
Abstract:	摘要： This study investigates the relation between trading activities and the price discovery efficacy of the futures markets for EUR–USD and JPY–USD. According to data pertaining to weekly positions, collected from the Commitments of Traders reports distributed by the Commodity Futures Trading Commission, the information share of currency futures markets declines with hedgers’ positions but increases with speculators’ positions. In addition, both hedgers’ expected and unexpected positions have negative impacts on the contribution of the futures market; the futures market’s information share relates positively to speculators’ expected positions but is uncorrelated with speculators’ unexpected positions. 其他題名： Rev Quant Finan Acc 出版者： New York: Springer US 出版日期： 2016-05 出處： Review of quantitative finance and accounting, 2016-05, Vol.46 (4), p.793-818 資源來源： ABI/INFORM Collection 版權： Springer Science+Business Media New York 2014 版權： Springer Science+Business Media New York 2016 識別號： ISSN: 0924-865X 識別號： EISSN: 1573-7179 識別號： DOI: 10.1007/s11156-014-0486-9
Appears in Collections:	[Department of Finance] journal & Dissertation

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