全球智库信息集成服务系统(G2TT): Puzzles in the Forex Tokyo \u201cFixing\u201d: Order Imbalances and Biased Pricing by Banks

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w22820
来源ID	Working Paper 22820
	Puzzles in the Forex Tokyo \u201cFixing\u201d: Order Imbalances and Biased Pricing by Banks
	Takatoshi Ito; Masahiro Yamada
发表日期	2016-11-14
出版年	2016
语种	英语
摘要	“Fixing” in the foreign exchange market is a market practice that determines the bid-ask-mid-point exchange rate at a scheduled time, 10am in Tokyo and 4pm in London. The fixing exchange rate is then applied to the settlement of foreign exchange transactions between banks and retail customers including broker dealers, institutional investors, insurance companies, exporters and importers, with varying bid-ask spreads. Our findings for the Tokyo fixing are summarized as follows. (1) Price spikes in the Tokyo fixing are more frequent than in the London fixing. (2) The customer orders are biased toward buying the foreign currencies, which is predictable. (3) Before 2008, the fixing prices set by banks were biased upward, and higher than the highest transaction price during the fixing time window. (4) Even after 2008, the fixing prices announced by banks were still above the median transaction price during the fixing window, suggesting that banks make predictable profits. (5) The calendar effects also matter for determination of the fixing rate and the price fluctuation around fixing time.
主题	Microeconomics ; Market Structure and Distribution ; International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets
URL	https://www.nber.org/papers/w22820
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/580494
推荐引用方式 GB/T 7714	Takatoshi Ito,Masahiro Yamada. Puzzles in the Forex Tokyo \u201cFixing\u201d: Order Imbalances and Biased Pricing by Banks. 2016.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w22820.pdf（1233KB）	智库出版物		限制开放	CC BY-NC-SA	浏览