PRICE CLUSTERING AND INFORMATION REVELATION IN THE FOREIGN EXCHANGE MARKET: EVIDENCE FROM TAIWAN

Hao-Chen Liu

《Advances in Investment Analysis and Portfolio Management》 8期 (2017/05) Pp. 125-136

https://doi.org/10.6291/AIAPM.2017.08.06

摘要

In the foreign exchange market, technical analysis is commonly used by interbank dealers to predict foreign exchange price movement, especially across shorter horizons. Survey studies show that a significant portion of dealers use technical analysis for trending prediction and identifying turning points. Using one of the popular technical rules, support and resistance level, I investigate information revealed through intraday clustered transactions. This study shows that a trade breaking the support and resistance levels has a higher impact on price movement in the foreign exchange market.

關鍵字

Foreign Exchange ； Market Microstructure ； Price Clustering ； Technical Analysis

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