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
