外匯市場買賣單的資訊內涵

本論文主要目的是透過檢定外匯電子交易系統-EBS中的歐元兌美元以及美元兌日圓兩種匯率資料來研究哪一類型的訂單帶有較多訊息。雖然Menkhoff et al. (2010)研究莫斯科銀行間外匯交易市場資料發現市價單帶有較多訊息，但是Kaniel and Liu (2006)和Chou and Wang (2009)分別研究股票市場資料和期貨市場資料都發現不同的結果，積極的限價單帶有較多訊息。本研究利用計算報酬和Hasbrouck (1991)提出的資訊內容兩個模型去檢定依據Menkhoff et al. (2010)拆成三種單子(市價單、積極限價單和不積極限價單)，而不是只有市價單和限價單後，哪種單子帶有較多的訊息。

關鍵字

資訊；買賣單類型；買賣單流量；外匯市場；自我回歸向量模型；電子仲介服務系統

並列摘要

This thesis aims to examine Euro-Dollar and Dollar-Yen in the EBS (Electronic Broking Services) to determine what kind of order type is more informative. Although Menkhoff et al. (2010) show that market orders contain more information in the Moscow interbank foreign exchange market, Kaniel and Liu (2006) and Chou and Wang (2009) find the contrary results that aggressive limit orders contain more information in the stock market and stock index futures market, respectively. The examination of subsequent returns and the Hasbrouck (1991) information content approach are used to identify which type of orders among marketable orders, aggressive limit orders, and patient limit orders are most informative.

並列關鍵字

Information ； Order type ； Order flow ； Foreign exchange marekt ； Vector auto-regression (VAR) model ； EBS

參考文獻

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