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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w12682 |
来源ID | Working 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 |
URL | https://www.nber.org/papers/w12682 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/570344 |
推荐引用方式 GB/T 7714 | Takatoshi Ito,Yuko Hashimoto. Price Impacts of Deals and Predictability of the Exchange Rate Movements. 2006. |
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文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w12682.pdf(367KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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