Trading Behavior in Taiwan FX Market: Trading Pattern and the Impact of Macroeconomic News

碩士 === 國立成功大學 === 國際企業研究所碩博士班 === 94 === This paper characterizes the intraday volatility, volume and bid-ask spread in Taiwan foreign exchange (FX) market based on 15-min sample of NTD/USD exchange rates from January 1, 2004 to March 25, 2005. In the research based on high-frequency data, literatur...

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Main Authors: Chih-Chien Lin, 林志謙
Other Authors: Min-Hsien Chiang
Format: Others
Language:en_US
Published: 2006
Online Access:http://ndltd.ncl.edu.tw/handle/65112772910399937428
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spelling ndltd-TW-094NCKU53200182016-05-30T04:21:57Z http://ndltd.ncl.edu.tw/handle/65112772910399937428 Trading Behavior in Taiwan FX Market: Trading Pattern and the Impact of Macroeconomic News 台灣外匯市場的交易行為:日內交易型態與總體經濟消息的影響 Chih-Chien Lin 林志謙 碩士 國立成功大學 國際企業研究所碩博士班 94 This paper characterizes the intraday volatility, volume and bid-ask spread in Taiwan foreign exchange (FX) market based on 15-min sample of NTD/USD exchange rates from January 1, 2004 to March 25, 2005. In the research based on high-frequency data, literature on market microstructure has shown the existence of seasonality contradicted the Efficient Markets Hypothesis and recognized that asymmetric information, inventory carrying risks and other factors may affect these intraday patterns. In the first, this study uses GMM to test the intraday patterns of trading behavior and the result shows that there are individual L-shaped and U-shaped (or reverse J-shaped) patterns in volatility in the morning and afternoon sessions, M-shaped and U-shaped patterns in volume in the morning and afternoon sessions and double L-shaped patterns in bid-ask spread in the morning and afternoon sessions. Although the result of intraday patterns is a little different to previous research, it is consistent with literature on market microstructure to contradict the Efficient Markets Hypothesis. Secondly, this study also tests if macroeconomic news announcements affect the trading activities. The study presents that trading activities aren’t influenced by macroeconomic news. Maybe macroeconomic news is expected and trading behavior is affected before these news announcements release. In addition, the result from E.K.O. model shows that macroeconomic news announcements indeed make information asymmetry increase. According to these results, this study considers the other reason why the trading behavior can’t be affected by macroeconomic news is because macroeconomic news is not main factor. Min-Hsien Chiang 江明憲 2006 學位論文 ; thesis 114 en_US
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description 碩士 === 國立成功大學 === 國際企業研究所碩博士班 === 94 === This paper characterizes the intraday volatility, volume and bid-ask spread in Taiwan foreign exchange (FX) market based on 15-min sample of NTD/USD exchange rates from January 1, 2004 to March 25, 2005. In the research based on high-frequency data, literature on market microstructure has shown the existence of seasonality contradicted the Efficient Markets Hypothesis and recognized that asymmetric information, inventory carrying risks and other factors may affect these intraday patterns. In the first, this study uses GMM to test the intraday patterns of trading behavior and the result shows that there are individual L-shaped and U-shaped (or reverse J-shaped) patterns in volatility in the morning and afternoon sessions, M-shaped and U-shaped patterns in volume in the morning and afternoon sessions and double L-shaped patterns in bid-ask spread in the morning and afternoon sessions. Although the result of intraday patterns is a little different to previous research, it is consistent with literature on market microstructure to contradict the Efficient Markets Hypothesis. Secondly, this study also tests if macroeconomic news announcements affect the trading activities. The study presents that trading activities aren’t influenced by macroeconomic news. Maybe macroeconomic news is expected and trading behavior is affected before these news announcements release. In addition, the result from E.K.O. model shows that macroeconomic news announcements indeed make information asymmetry increase. According to these results, this study considers the other reason why the trading behavior can’t be affected by macroeconomic news is because macroeconomic news is not main factor.
author2 Min-Hsien Chiang
author_facet Min-Hsien Chiang
Chih-Chien Lin
林志謙
author Chih-Chien Lin
林志謙
spellingShingle Chih-Chien Lin
林志謙
Trading Behavior in Taiwan FX Market: Trading Pattern and the Impact of Macroeconomic News
author_sort Chih-Chien Lin
title Trading Behavior in Taiwan FX Market: Trading Pattern and the Impact of Macroeconomic News
title_short Trading Behavior in Taiwan FX Market: Trading Pattern and the Impact of Macroeconomic News
title_full Trading Behavior in Taiwan FX Market: Trading Pattern and the Impact of Macroeconomic News
title_fullStr Trading Behavior in Taiwan FX Market: Trading Pattern and the Impact of Macroeconomic News
title_full_unstemmed Trading Behavior in Taiwan FX Market: Trading Pattern and the Impact of Macroeconomic News
title_sort trading behavior in taiwan fx market: trading pattern and the impact of macroeconomic news
publishDate 2006
url http://ndltd.ncl.edu.tw/handle/65112772910399937428
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