外匯期貨流動性之探討

Understanding Liquidity Behavior of the Currency Futures Markets

本文主旨在於探討外匯期貨的流動性共變以及其影響因素，採用芝加哥商品交易所（CME）交易的7種外匯期貨作為研究樣本，本文研究結果發現供給面因素、需求面因素、外匯市場存貨風險對於整體市場流動性、個別期貨流動性及其流動性共變皆有顯著的影響。另外，本研究實證結果發現歐元外匯期貨的外溢效果相較於其他外匯期貨更為顯著，也證實歐元外匯期貨的重要性。相較於外匯現貨市場，由於外匯期貨市場的交易資訊更為公開透明，我們的研究將有著於提供實務上投資決策的參考資訊。

This paper investigates the liquidity behavior of currency futures markets. The empirical results show that the supply- and demand-side factors and the foreign exchange (FX) inventory risk have significant effects on market-wide as well as individual liquidity and commonality in liquidity of currency futures. Moreover, the results of spillover effects indicate that the currency futures liquidity for the euro is more important than other currency futures liquidity. Because the trading activity of currency futures markets is more transparent than the spot FX markets, our empirical findings thus provide additional information for practitioners in making trading decisions.