標題: The intraday price discovery of Taiwan's dual-trading foreign exchange market
臺灣同步交易外匯市場間之日內價格發現
作者: Dar-Hsin Chen
Ying-Hsin Lee
關鍵字: Cointegration;;Vector error correction model;;Foreign exchange market;;Price discovery
公開日期: 1-十二月-2016
出版社: 交通大學
National Chiao Tung University
摘要: This paper examines the role of price discovery in Taiwan's two foreign exchange markets during trading days. The minor market, Cosmos Foreign Exchange International Co., has small optimal trading timing, but has a greater mean saving for liquidity dealers. The major market, Taipei Foreign Exchange Co., contributes more information for transaction price discovery, especially during the market opening and closing periods. However, the minor market dominants price discovery for the bid price, because it has the lowest cost in dealing. The causality is bidirectional between the two markets for transaction price, ask price, and spread, but unidirectional for the bid price. Finally, using high-frequency data is essential for detecting price discovery in the spot foreign exchange market, which is especially valid as larger discrepancies of transaction prices between the two markets disappear.
URI: http://hdl.handle.net/11536/137149
ISSN: 1028-7318
期刊: 交大管理學報
Chiao Da Mangement Review
Volume: 36
Issue: 2
起始頁: 1
結束頁: 29
顯示於類別:交大管理學報


文件中的檔案:

  1. 1028-7310-360201.pdf