题名

外匯現貨市場日內買／賣報價非線性行為之研究

并列篇名

The Nonlinear Behavior of Bid-ask Quote in the Intra-day Spot Foreign Exchange Market

DOI

10.6545/JFS.2008.16(1).7

作者

柏婉貞(Wan-Chen Po)；黃柏農(Bwo-Nung Huang)

关键词

買／賣報價 ； 買賣價差 ； 外匯市場 ； Bid-Ask quote ； Bid-Ask spreads ； FX microstructure markets

期刊名称

財務金融學刊

卷期/出版年月

16卷1期（2008 / 03 / 31）

页次

183 - 207

内容语文

繁體中文
中文摘要

外匯市場微結構主要研究價格形成機制，本文除了分析傳統線性模型的買賣價差、交易量、交易存續時間、開盤、收盤和星期效果對外匯市場買／賣報價之動態關係外，我們也進一步驗證外匯市場買／賣報價存在非線性關係。本研究嘗試將買／賣報價依正、負報酬區分成不同體制，分別探討買／賣報價在正報酬區間及負報酬區間之非線性調整行為。實證發現，外匯市場買／賣報價在不同報酬區間存在不對稱性。此外，本文亦設明外匯市場買／賣報價在非線性模型下較線性模型更可描述交易行為之影響。
英文摘要

The FX microstructure literature is mainly devoted to the study of the mechanics of the price formation. In this paper, We proof that there exists a nonlinear relationship between bid-ask quote in FX markets. Therefore our study not only using linear econometric methods to analysis the bid-ask spreads, trading volume, duration, open, close and day of the week effect have an effect on the bid-ask quote in FX market but also dividing bid-ask quote into difference return regions to discuss nonlinear relationship. In FX market we find that there is an asymmetric behavior in bid-ask quote. In an addition, the bid-ask quote nonlinear model has a better effect on trading activity than linear model.
主题分类 社會科學 > 經濟學
社會科學 > 財金及會計學
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