- 學位論文
新聞宣告對外匯市場買賣價差的影響
Impacts of macroeconomic announcements on spreads in the foreign exchange market
摘要
本篇文獻是使用EBS (Electronic Broking Services) 2003年到2007年高頻的匯率資料，去檢驗EUR/USD和 USD/JPY的價差，是否存在日內模式和星期效應，並且檢驗美國、歐盟和日本三個地區的新聞宣告對於價差的影響，由實證結果發現，價差的確有存在日內模式和星期效應，歐盟的宣告會影響EUR/USD的價差，而美國宣告相對於日本宣告，影響USD/JPY價差較多，另外，美國宣告例如：International Trade、Jobless Claim等，歐盟宣告例如：PPI，日本宣告例如：GDP and Retail Sales等宣告的結果會被事先預期，因此價差在事先就會反應修正，所以在宣告發佈的時候，價差不會有所反應。
並列摘要
This paper uses the high frequency data set covering the period 2003 to 2007 from the EBS (Electronic Broking Services) to investigate the intraday pattern and the day-of-the-week effect in the quoted spreads and the impact of announcements form USA, EMU, Japan on quoted spreads. We find the intraday pattern and the day-of-the-week effect do exist. The empirical results indicate that some announcements from EMU affect the quoted spread of EUR/USD and announcements from USA have a stronger significant impact on USD/JPY quoted spread than those from Japan. Besides, the outcome for US announcements of International Trade and Jobless Claim etc., EMU announcements of PPI etc., and Japan announcements of GDP and Retail Sales etc. are expected by traders so that quoted spreads do not respond to them at the time of their releases.