EBS外匯市場委託單之資訊內涵;Information Content of Orders in the Ebs Foreign Exchange Market

NCU Institutional Repository > 管理學院 > 財務金融學系 > 研究計畫 > Item 987654321/62831

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题名:	EBS外匯市場委託單之資訊內涵;Information Content of Orders in the Ebs Foreign Exchange Market
作者:	高櫻芬
贡献者:	國立中央大學財務金融學系
关键词:	財政（含金融;保險）
日期:	2012-12-01
上传时间:	2014-03-17 14:05:18 (UTC+8)
出版者:	行政院國家科學委員會
摘要:	研究期間：10108~10207;Using the data from the trading platform of Electronic Broking Services (EBS), which operates an electronic (order driven) broker among foreign exchange interbank transactions across the globe in major currencies, this project aims to study the information content of orders by type in the EUR-USD and USD-JPY markets. At first, we examine the subsequent return after trades to investigate whether trading profitability differs among different order types, including marketable orders, aggressive limit orders and passive limit orders. We further study the price impact of different types of orders in the EBS limit-order market, using the VAR (vector autoregression) approach of Hasbrouck (1991, 1996)
關聯:	財團法人國家實驗研究院科技政策研究與資訊中心
显示于类别:	[Department of Finance] Research Project

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