The Informational Effect of Trades around Macroeconomic Announcements

總體經濟宣告下之交易資訊效果

10.6545/JFS.2017.25(3).1

張雅婷(Ya-Ting Chang)；高櫻芬(Yin-Feng Gau)

Bid-ask spread ； macroeconomic announcement ； information content ； price impact asymmetry ； foreign exchange market ； 買賣價差 ； 總體宣告 ； 資訊內容 ； 價格衝擊不對稱 ； 外匯市場

財務金融學刊

25卷3期（2017 / 09 / 30）

1 - 45

英文

Using the high-quality intraday transaction dataset of the Electronic Broking Services (EBS), this paper examines the impact of trade size on the level of information asymmetry in the electronic limit-order foreign exchange market. We find that the extent of information asymmetry increases with the trade size, implying that a large trade contains more private information than a small trade. Examining the variation in information asymmetry cost around the release of U.S. and Japanese macroeconomic announcements, we find evidence of asymmetric effect of trade size on the level of information asymmetry across positive and negative news surprises.

本文採用外匯市場EBS電子仲介系統上之日內成交資料，分析交易規模大小如何影響資訊不對稱程度。研究結果顯示，資訊不對稱程度會隨著交易規模大小而增加。當美國以及日本地區總體經濟宣告發布時，交易規模對資訊不對稱程度之影響，會隨著未預料到正面及負面新聞發布，呈現不對稱現象。

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