篇名 | The intraday price discovery of Taiwan’s dual-trading foreign exchange market |
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並列篇名 | 臺灣同步交易外匯市場間之日內價格發現 |
作者 | Dar-Hsin Chen |
英文摘要 | 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. |
起訖頁 | 1-29 |
關鍵詞 | Cointegration、Vector error correction model |
刊名 | 陽明交大管理學報 |
出版單位 | 陽明交通大學管理學院(原:交通大學管理學院) |
期數 | 201612 (36:2期) |
DOI | 10.3966/102873102016123602001 複製DOI DOI申請 |
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