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来源类型Working Paper
规范类型报告
DOI10.3386/w12682
来源IDWorking Paper 12682
Price Impacts of Deals and Predictability of the Exchange Rate Movements
Takatoshi Ito; Yuko Hashimoto
发表日期2006-11-09
出版年2006
语种英语
摘要This paper examines the price impact and the predictability of the exchange rate movement using the transaction data recorded in the electronic broking system of the spot foreign exchange market. The number of actual deals at the ask (or bid side) for a specified time interval may be regarded as "order flows" to buy (or sell) in Richard Lyons' work. First, the contemporaneous impact of order flows on the quote and deal prices are analyzed. Second, the price predictability is examined. Our forecasting equations of the exchange rate for the next X minutes (X=1, 5, 15, 30) show that coefficients are significantly different from zero in both 5-min and 1-min forecast horizons, but the significance disappears in the 30-minute interval. The t-statistics become larger as the prediction window becomes shorter. Price impacts of deals at one side of the market are significant but short-lived. Market participants, if they can observe and analyze all the transactions information in real time, may be able to extract information to predict the price movements in the following next few minutes.
主题International Economics ; International Finance ; Financial Economics ; Financial Markets
URLhttps://www.nber.org/papers/w12682
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/570344
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Takatoshi Ito,Yuko Hashimoto. Price Impacts of Deals and Predictability of the Exchange Rate Movements. 2006.
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