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題名:The Informational Effect of Trades around Macroeconomic Announcements
書刊名:財務金融學刊
作者:張雅婷高櫻芬
作者(外文):Chang, Ya-tingGau, Yin-feng
出版日期:2017
卷期:25:3
頁次:頁1-45
主題關鍵詞:買賣價差總體宣告資訊內容價格衝擊不對稱外匯市場Bid-ask spreadMacroeconomic announcementInformation contentPrice impact asymmetryForeign exchange market
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:2
  • 點閱點閱:8
期刊論文
1.Evans, Martin D. D.、Lyons, Richard K.(2005)。Do Currency Markets Absorb News Quickly?。Journal of International Money and Finance,24(2),197-217。  new window
2.Berger, David W.、Chaboud, Alain P.、Chernenko, Sergey V.、Howorka, Edward、Wright, Jonathan H.(2008)。Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data。Journal of International Economics,75(1),93-109。  new window
3.Ehrmann, Michael、Fratzscher, Marcel(2005)。Exchange Rates and Fundamentals: New Evidence from Real-Time Data。Journal of International Money and Finance,24(2),317-341。  new window
4.Ito, Takatoshi、Roley, Vance V.(1987)。News from the U.S. and Japan: Which Moves the Yen/Dollar Exchange Rate?。Journal of Monetary Economics,19(2),255-277。  new window
5.Madhavan, Ananth、Smidt, Seymour(1991)。A Bayesian Model of Intraday Specialist Pricing。Journal of Financial Economics,30(1),99-134。  new window
6.Glosten, Lawrence R.(1989)。Insider Trading, Liquidity, and the Role of the Monopolist Specialist。Journal of Business,62,211-235。  new window
7.Bjønnes, Geir Hoidal、Rime, Dagfinn(2005)。Dealer behavior and trading systems in foreign exchange markets。Journal of Financial Economics,75(3),571-605。  new window
8.Payne, Richard(2003)。Informed trade in spot foreign exchange markets: An empirical investigation。Journal of International Economics,61(2),307-329。  new window
9.Huang, Roger D.、Stoll, Hans R.(1994)。Market Microstructure and Stock Return Predictions。Review of Financial Studies,7,179-213。  new window
10.Madhavan, Ananth、Richardson, Matthew、Roomans, Mark(1997)。Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks。Review of Financial Studies,10(4),1035-1064。  new window
11.Peiers, Bettina(1997)。Informed Traders, Intervention, and Price Leadership: A Deeper View of the Microstructure of the Foreign Exchange Market。The Journal of Finance,52(4),1589-1614。  new window
12.Lin, Ji-Chai、Sanger, Gary C.、Booth, Geoffrey G.(1995)。Trade size and components of the bid-ask spread。Review of Financial Studies,8(4),1153-1183。  new window
13.Ito, Takatoshi、Lyons, Richard K.、Melvin, Michael T.(1998)。Is There Private Information in the FX Market? The Tokyo Experiment。The Journal of Finance,53(3),1111-1130。  new window
14.Evans, Martin D. D.、Lyons, Richard K.(2008)。How is macro news transmitted to exchange rates?。Journal of Financial Economics,88(1),26-50。  new window
15.Bauwens, Luc、Omrane, Walid Ben、Giot, Pierre(2005)。News announcements, market activity and volatility in the euro/dollar foreign exchange market。Journal of International Money and Finance,24,1108-1125。  new window
16.Green, T. Clifton(2004)。Economic News and the Impact of Trading on Bond Prices。Journal of Finance,59(3),1201-1234。  new window
17.Glosten, Lawrence R.、Harris, Lawrence E.(1988)。Estimating the Components of the Bid/Ask Spread。Journal of Financial Economics,21(1),123-142。  new window
18.Hasbrouck, Joel(1988)。Trades, Quotes, Inventories and Information。Journal of Financial Economics,22(2),229-252。  new window
19.Huang, Roger D.、Stoll, Hans R.(1997)。The components of the bid-ask spread: a general approach。The Review of Financial Studies,10,995-1034。  new window
20.Easley, David、Kiefer, Nicholas M.、O'Hara, Maureen(1997)。The information content of the trading process。Journal of Empirical Finance,4,159-186。  new window
21.鄭揚耀、張眾卓、易道韻(20131200)。An Analysis of Short Selling, Margin Purchasing, and Bid-ask Spreads around Illegal Insider Trading: Evidence from Taiwan。財務金融學刊,21(4),91-123。new window  new window
22.Huang, Roger D.、Masulis, Ronald W.(2003)。Trading activity and stock price volatility: evidence from the London stock exchange。Journal of Empirical Finance,10(3),249-269。  new window
23.Soroka, Stuart N.(2006)。Good news and bad news: Asymmetric responses to economic information。The Journal of Politics,68(2),372-385。  new window
24.King, Michael R.、Osler, Carol L.、Rime, Dagfinn(2013)。The market microstructure approach to foreign exchange: Looking back and looking forward。Journal of International Money and Finance,38,95-119。  new window
25.Lyons, Richard K.(1995)。Tests of microstructural hypotheses in the foreign exchange market。Journal of Financial Economics,39,321-351。  new window
26.Barclay, Michael J.、Warner, Jerold B.(1993)。Stealth trading and volatility which trades move prices?。Journal of Financial Economics,34(3),281-305。  new window
27.Carlson, John A.、Lo, Melody(2006)。One minute in the life of the DM/US$: Public news in an electronic market。Journal of International Money and Finance,25,1090-1102。  new window
28.Easley, David、O'Hara, Maureen(1987)。Price, trade size and information in securities markets。Journal of Financial Economics,19(1),69-90。  new window
29.Ahn, Hee J.、Kang, Jangkoo、Ryu, Doojin(2010)。Information effects of trade size and trade direction: Evidence from the KOSPI 200 index options market。Asia-Pacific Journal of Financial Studies,39,301-339。  new window
30.Almgren, Robert F.(2003)。Optimal execution with nonlinear impact functions and trading-enhanced risk。Applied Mathematical Finance,10,1-18。  new window
31.Angelidis, Timotheos、Benos, Alexandros(2009)。The components of the bid-ask spread: The case of the Athens Stock Exchange。European Financial Management,15,112-144。  new window
32.陳佑倫、高櫻芬、王景譽(20130900)。Macroeconomic Announcements and Information Asymmetry in the Foreign Exchange Market。財務金融學刊,21(3),1-28。new window  延伸查詢new window
33.De Winne, Rudy、Majois, Christophe(2003)。A comparison of alternative spread décomposition models on Euronext Brussels。Brussels Economic Review,46,91-136。  new window
34.Fatum, Rasmus、Hutchison, Michael、Wu, Thomas(2012)。Asymmetries and state dependence: The impact of macro surprises on intraday exchange rates。Journal of the Japanese and International Economies,26(4),542-560。  new window
35.Gradojevic, Nikola、Yang, Jing(2006)。NonLinear, nonparametric, nonfundamental exchange rate forecasting。Journal of Forecasting,25,227-245。  new window
36.Hashimoto, Yuko、Ito, Takatoshi(2010)。Effects of Japanese macroeconomic statistic announcements on the dollar/yen exchange rate: High-Resolution picture。Journal of the Japanese and International Economies,24,334-354。  new window
37.Huang, Yai-Wei、Lai, Ching-Hui、Chen, Yu-Cheng(2006)。Price, trading volume, and bid-ask spreads around earnings announcement。Review of Securities and Futures Markets,18,1-31。  new window
38.Ligon, James A.、Liu, Hao-Chen(2013)。The relation of trade size and price contribution in a traditional foreign exchange brokered market。Pacific-Basin Finance Journal,21,1024-1045。  new window
39.Menkhoff, Lukas、Schmeling, Maik(2010)。Whose trades convey information? Evidence from a cross-section of traders。Journal of Financial Markets,13(1),101-128。  new window
40.Osler, Carol L.、Mende, Alexander、Menkhoff, Lukas(2011)。Price discovery in currency markets。Journal of International Money and Finance,30,1696-1718。  new window
41.Rak, Rafal、Drozdz, Stanislaw、Kwapien, Jaroslaw、Oswiecimka, Pawel(2013)。Stock returns versus trading volume: Is the correspondence more general?。Acta Physica Polonica B,44,2035-2050。  new window
42.Rime, Dagfinn、Schrimpf, Andreas(2013)。The anatomy of the global FX market through the lens of the 2013 Triennial Survey。BIS Quarterly Review,2013(Dec.),27-43。  new window
43.Riordan, Ryan、Storkenmaier, Andreas、Wagener, Martin、Zhang, Sarah(2013)。Public information arrival: Price discovery and liquidity in electronic limit order markets。Journal of Banking and Finance,37,1148-1159。  new window
44.Roll, Richard(1984)。A simple implicit measure of the effective bidask spread in an efficient market。Journal of Finance,39,1127-1139。  new window
45.Stoll, Hans R.(1989)。Inferring the components of the bidask spread: Theory and empirical tests。Journal of Finance,44,115-134。  new window
46.Chakravarty, Sugato(2001)。Stealth-trading: Which traders' trades move stock prices?。Journal of Financial Economics,61(2),289-307。  new window
47.Holthausen, Robert W.、Leftwich, Richard W.、Mayers, David(1987)。The effect of large block transactions on security prices: A cross-sectional analysis。Journal of Financial Economics,19(2),237-267。  new window
48.Kim, Oliver、Verrecchia, Robert E.(1994)。Market Liquidity and Volume around Earnings Announcements。Journal of Accounting & Economics,17(1/2),41-67。  new window
49.Andersen, T. G.、Bollerslev, T.、Diebold, F. X.、Vega, C.(2003)。Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange。The American Economic Review,93(1),38-62。  new window
50.Hasbrouck, Joel(1991)。Measuring the Information Content of Stock Trades。Journal of Finance,46(1),179-207。  new window
51.Kyle, Albert S.(1985)。Continuous auctions and insider trading。Econometrica,53(6),1315-1335。  new window
52.Dufour, Alfonso、Engle, Robert F.(2000)。Time and the Price Impact of a Trade。Journal of Finance,55,2467-2498。  new window
研究報告
1.Bjønnes, Geir H.、Osler, Carol L.、Rime, Dagfinn(2008)。Asymmetric information in the interbank foreign exchange market。  new window
 
 
 
 
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