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題名:外匯市場的買價與賣價的動態調整過程:以日圓/美元市場為例
書刊名:中山管理評論
作者:高櫻芬 引用關係
作者(外文):Gau, Yin-feng
出版日期:2005
卷期:13:4
頁次:頁873-896
主題關鍵詞:買價賣價外匯市場市場微結構誤差修正模型JEL分類編號: C32JEL分類編號: C51JEL分類編號: F31AskBidError correction modelForeign exchange market microstructureJEL classification: C32JEL classification: C51JEL classification: F31
原始連結:連回原系統網址new window
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  • 點閱點閱:20
本文利用日圓/美元匯率之逐筆交易(tick-by-tick)資料,探討外匯市場中買價(bid quote)與賣價(ask quote)之關聯,發現交易訊息對於買/賣報價調整的影響並不對稱,因此若使用報價中點為衡量交易資訊性的價格變數,只能代表在調整過後整個報價趨勢是往上或往下,無法充分反映所有的市場資訊,而比較適當的分析方法為允許買價與賣價為兩個不同的隨機過程之雙變量(bivariate)模型。估計結果顯示,買價與賣價皆為不恆定的Ⅰ(1)數列,但兩者之間存在一共整合(cointegration)關係,買價與賣價會逐期朝向其長期的均衡價差調整。利用買價變動與賣價變動的誤差修正模型,我們不只可以了解價差扮演著誤差修正項的角色,也發現買價變動與賣價變動之間具有雙向的Granger因果關係。
This paper uses the tick data of Japanese yen-Dollar exchange rate to study the dynamic interrelation of bid and ask quotes in the currency market. We study the dynamics of bid and ask revisions in the error correction model (ECM). The estimation results indicate a long-term equilibrium spread and a integrating relation between the bid and ask quotes. We also utilize a bivariate VAR model to analyze the dynamic interaction and feedback between the quote frequency and spread.
期刊論文
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23.Kwiatkowski, D.、Phillips, P. C. B.、Schmidt, P.、Shin, Y. C.(1992)。Testing the Null Hypothesis of Stationary against the Alternative of a Unit Root。Journal of Econometrics,54(1),159-178。  new window
24.Johansen, S.(1991)。Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Model。Econometrica,59(6),1551-1580。  new window
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研究報告
1.Wei, Shang J.(1994)。Anticipations of Foreign Exchange Volatility and Bid-Ask Spreads。  new window
圖書
1.Lyons, R.(2001)。The Microstructure Approach to Exchange Rates。Cambridge, Massachusetts:MIT Press。  new window
2.Hamilton, James D.(1994)。Time Series Analysis。Princeton University Press。  new window
圖書論文
1.Goodhart, C. A. E.、Ito, T.、Payne, R. G.(1996)。One Day in June 1993: A Study of the Working of the Reuters 2000-2 Electronic Foreign Exchange Trading System。The Microstructure of Foreign Exchange Markets。Chicago:University of Chicago Press。  new window
2.Jorion, P.(1996)。Risk and Turnover in The Foreign Exchange Market。The Microstructure of Foreign Exchange Markets。Chicago:University of Chicago Press。  new window
3.Lyons, R. K.(1996)。Foreign Exchange Volume: Sound and Fury Signifying Nothing?。The Microstructure of Foreign Exchange Markets。Chicago, IL:University of Chicago Press。  new window
4.Mackinnon, J. G.(1991)。Critical Values for Cointegration Tests。Long-Run Economic Relationships: Readings in Cointegration。New York。  new window
5.Hasbrouck, J.(1996)。Modeling Market Microstructure Time Series。Handbook of Statistics, Vol.14, Statistical Methods in Finance。Amsterdam, Netherlands:Elsevier, North-Holland。  new window
 
 
 
 
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