Macroeconomic Announcements and Information Asymmetry in the Foreign Exchange Market

總體經濟宣告與外匯市場之訊息不對稱

陳佑倫(Yu-Lun Chen) ； 高櫻芬(Yin-Feng Gau) ； 王景譽(Ching-Yu Wang)

《財務金融學刊》 21卷3期 (2013/09) Pp. 1-28

https://doi.org/10.6545/JFS.2013.21(3).1

摘要

本文使用EBS電子仲介系統上的歐元－美元逐筆匯率資料，探討訊息對於電子交易平台之即期匯率的影響。研究結果顯示，訊息不對稱的程度具有週內與日內的周期變化形態，而且在美國與歐洲地區的總體經濟宣告發布後，訊息不對稱的程度增加。

關鍵字

買賣價差 ； 逆選擇成本 ； 訊息不對稱 ； 電子仲介系統 ； 外匯市場

並列摘要

This article studies whether and to what extent information affects the determination of spot exchange rates in an electronic limit-order foreign exchange market. Using the tick-bytick data of EUR-USD quotes and transactions on the Electronic Broking Services (EBS), the authors find evidence of intraweek and intraday variation in the level of information asymmetry. After macroeconomic announcements in the United States and Europe, the level of information asymmetry increases, which reveals that the informational role of order flow increases immediately after the release of macroeconomic announcements.

並列關鍵字

Bid-ask spread ； adverse selection cost ； information asymmetry ； electronic broking system ； foreign exchange market

參考文獻

Breedon, Francis, and Angelo Ranaldo, 2011, Intraday patterns in FX returns and order flow, Working Paper, Swiss National Bank

Osler, Carol L., 2008, Foreign exchange microstructure: A survey of the empirical literature, Working Paper, Brandeis University

Osler, Carol L., Alexander Mende, and Lukas Menkhoff, 2007, Price discovery in currency markets, Working Paper, Brandeis University

Yao, Jian, 1998, Spread components and dealer profits in the interbank foreign exchange market, Working Paper, New York University

Admati, Anat R.,Pfleiderer, Paul(1988).A theory of intraday patterns: Volume and price variability.Review of Financial Studies.1,3-40.