Microstructure analysis on liquidity and informational efficiency in the foreign exchange market

• Project/Area Number: 21730253
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Single-year Grants
• Research Field: Public finance/Monetary economics
• Research Institution: Kobe University
• Principal Investigator: IWATSUBO Kentaro 神戸大学, 大学院・経済学研究科, 准教授 (90372466)
• Project Period (FY): 2009 – 2011
• Project Status: Completed (Fiscal Year 2011)
• Budget Amount: ¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000); Fiscal Year 2011: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000); Fiscal Year 2010: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000); Fiscal Year 2009: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
• Keywords: 為替相場 / 私的情報 / 流動性 / 情報効率性 / ファンダメンタル / オーダーフロー / ファンダメンタルズ / 為替レート / 予想 / ニュース / スプレッド

Research Abstract

We study the relationship between liquidity and informational efficiency in the foreign exchange markets. We find that in the electronic broking system informed traders prefer to submit limit orders to market orders and that the informational asymmetry between informed and liquidity traders decreases during the high volume and high liquidity business hours, contributing to improve the informational efficiency. Other study uses the customer market transaction data by a major European bank to investigate whether customer order flows reflect the pre-announced macro fundamentals. We find that the order flows by financial institutions incorporate the information on the not-yet-announced fundamentals and this explains the fundamental-disconnect puzzle and the news puzzle.

Research Products

• [Journal Article] International Transmission of Business Cycles : Evidence from Dynamic Correlations (2012)
  • Author(s): Iwatsubo, K., Fidrmuc, J., Ikeda, T.
  • Journal Title: Economics Letters Pages: 252-255
• [Journal Article] 金融政策とファイナンシャル・コンディションズ・インデェックス-マクロ・プルーデンス政策のための量的指標 (2011)
  • Author(s): 春井久志・岩壷健太郎
  • Journal Title: 国民経済雑誌 Volume: 203巻 Pages: 75-90
• [Journal Article] Intraday Evidence of Informational Efficiency of the Yen/Dollar Exchange Rate (2009)
  • Author(s): Iwatsubo, K., Kitamura, Y.
  • Journal Title: Applied Financial Economics Volume: 19 Pages: 1103-1115
• [Journal Article] Liquidity, Volume and Informational Efficiency : Evidence from High-frequency FX Data (2009)
  • Author(s): 岩壷健太郎・北村能寛
  • Journal Title: 日本ファイナンス学会第17回大会Proceedings Pages: 133-142
• [Journal Article] Intraday Evidence of Informational Efficiency of the Yen/Dollar Exchange Rate (2009)
  • Author(s): 岩壷健太郎・北村能寛
  • Journal Title: Applied Financial Economics 19巻 Pages: 1103-1115
  • Peer Reviewed
• [Journal Article] External Adjustments and Coordinated Exchange Rate Policy in Asia (2009)
  • Author(s): 岩壷健太郎・小川英治
  • Journal Title: Journal of Asian Economics 20巻 Pages: 1225-239
  • Peer Reviewed
• [Journal Article] 円キャリー・トレードと世界金融危機 (2009)
  • Author(s): 岩壷健太郎
  • Journal Title: 国民経済雑誌 200巻,5号 Pages: 35-49
  • NAID: 110007364554
• [Journal Article] Liquidity, Volume and Informational Efficiency : Evidence from High-frequency FX Data
  • Author(s): Iwatsubo, K., Kitamura, Y.
  • Journal Title: 日本ファイナンス学会第17回大会Proceedings Pages: 133-142
• [Presentation] Information Improving Channel of Exchange Rate Intervention : How Do Announcements Work? (2012)
  • Author(s): Iwatsubo, K.
  • Organizer: 九州産業大学経済学会・研究会
  • Year and Date: 2012-03-05
• [Presentation] Order Flows, Fundamentals and Exchange Rates (2012)
  • Author(s): Iwatsubo, K.
  • Organizer: 大阪大学3^<rd> Workshop on International Economics
  • Place of Presentation: リーガロイヤルホテル大阪
  • Year and Date: 2012-02-24
• [Presentation] Information Improving Channel of Exchange Rate Intervention : How Do Announcements Work? (2011)
  • Author(s): Iwatsubo, K.
  • Organizer: 東北大学現代経済学研究会
  • Year and Date: 2011-10-14
• [Presentation] Information Improving Channel of Exchange Rate Intervention : How Do Official Announcements Work? (2011)
  • Author(s): 岩壷健太郎
  • Organizer: 東北大学経済学研究科
  • Place of Presentation: 東北大学(宮城県)(招待講演)
  • Year and Date: 2011-10-14
• [Presentation] 為替予測の先端的研究 (2011)
  • Author(s): 岩壷健太郎
  • Organizer: 日本金融学会秋季大会国際金融パネル・パネリスト
  • Place of Presentation: 近畿大学
  • Year and Date: 2011-09-18
• [Presentation] 為替予測の最先端研究 (2011)
  • Author(s): 岩壷健太郎
  • Organizer: 日本金融学会秋季大会国際金融パネル
  • Place of Presentation: 近畿大学(大阪府)(招待講演)
  • Year and Date: 2011-09-18
• [Presentation] Information Improving Channel of Exchange Rate Intervention : How Do Official Announcements Work? (2011)
  • Author(s): 岩壷健太郎
  • Organizer: 京都大学経済研究所研究会
  • Place of Presentation: 京都大学(京都府)(招待講演)
  • Year and Date: 2011-07-26
• [Presentation] Order Flows, Fundamentals and Exchange Rates (2011)
  • Author(s): Iwatsubo, K.
  • Organizer: 大阪大学MEW研究会
  • Year and Date: 2011-04-23
• [Presentation] Order Flows, Fundamentals and Exchange Rates (2011)
  • Author(s): 岩壷健太郎
  • Organizer: 大阪大学MEW研究会
  • Place of Presentation: 大阪大学(大阪府)(招待講演)
  • Year and Date: 2011-04-23
• [Presentation] International Transmission of Business Cycles : Evidence from Dynamic Correlations (2010)
  • Author(s): Iwatsubo, K.
  • Organizer: Regional Disparities in Central and Eastern Europe
  • Place of Presentation: Smolenice, Slovakia
  • Year and Date: 2010-11-19
• [Presentation] International Transmission of Business Cycles : Evidence from Dynamic Correlations (2010)
  • Author(s): 岩壷健太郎
  • Organizer: 国際コンファレンス"Regional Disparities in Central and Eastern Europe"
  • Place of Presentation: Smolenice, (Slovakia.)(招待講演)
  • Year and Date: 2010-11-19
• [Presentation] Information Improving Channel of Exchange Rate Intervention : How Do Announcements Work? (2010)
  • Author(s): Iwatsubo, K.
  • Organizer: Economics and Finance Seminar
  • Place of Presentation: Brunel University, UK
  • Year and Date: 2010-10-27
• [Presentation] The Information Improving Channel of Exchange Rate Intervention : How Do Official Announcements Work? (2010)
  • Author(s): 岩壷健太郎
  • Organizer: Economics and Finance Seminar
  • Place of Presentation: Brunel University, (UK.)(招待講演)
  • Year and Date: 2010-10-27
• [Presentation] 円キャリー・トレード、グローバル・インバランス、世界金融危機 (2010)
  • Author(s): 岩壷健太郎
  • Organizer: 財務省財総研ランチミーティング
  • Year and Date: 2010-09-29
• [Presentation] 円キャリー・トレード、グローバル・インバランス、世界金融危機 (2010)
  • Author(s): 岩壷健太郎
  • Organizer: 財総研ランチミーティング
  • Place of Presentation: 財務省(東京都)(招待講演)
  • Year and Date: 2010-09-29
• [Presentation] International Transmission of Business Cycles : Evidence from Dynamic Correlations (2010)
  • Author(s): Iwatsubo, K.
  • Organizer: 日本金融学会
  • Place of Presentation: 神戸大学
  • Year and Date: 2010-09-25
• [Presentation] International Transmission of Business Cycles : Evidence from Dynamic Correlations (2010)
  • Author(s): 岩壷健太郎
  • Organizer: 日本金融学会
  • Place of Presentation: 神戸大学(兵庫県)
  • Year and Date: 2010-09-25
• [Presentation] Information Improving Channel of Exchange Rate Intervention : How Do Announcements Work? (2010)
  • Author(s): Iwatsubo, K.
  • Organizer: Finance Research Workshop, Cass Business School
  • Place of Presentation: City University London, UK
  • Year and Date: 2010-06-14
• [Presentation] The Information Improving Channel of Exchange Rate Intervention : How Do Official Announcements Work (2010)
  • Author(s): 岩壷健太郎
  • Organizer: Finance Research Workshop
  • Place of Presentation: Cass Business School, City University London, (UK)(招待講演)
  • Year and Date: 2010-06-14
• [Presentation] 外国人投資家の株式所有と企業価値の因果関係-パネル構造VARによる分析 (2010)
  • Author(s): 岩壷健太郎
  • Organizer: 日本経済学会
  • Place of Presentation: 千葉大学
  • Year and Date: 2010-06-05
• [Presentation] 外国人投資家の株式所有と企業価値の因果関係-パネル構造VARによる分析 (2010)
  • Author(s): 岩壷健太郎
  • Organizer: 日本金融学会
  • Place of Presentation: 中央大学
  • Year and Date: 2010-05-15
• [Presentation] International Transmission of Business Cycles : Evidence from Dynamic Correlations (2010)
  • Author(s): Iwatsubo, K.
  • Organizer: Osaka Workshop on International Economics
  • Place of Presentation: 千里阪急ホテル
  • Year and Date: 2010-02-06
• [Presentation] 外国人投資家の株式所有と企業価値の因果関係-パネル構造VARによる分析 (2010)
  • Author(s): 岩壷健太郎
  • Organizer: 関西計量経済学研究会
  • Place of Presentation: 京都大学
  • Year and Date: 2010-01-09
• [Presentation] 円キャリー・トレード、グローバル・インバランス、世界金融危機 (2009)
  • Author(s): 岩壷健太郎
  • Organizer: 日本金融学会秋季大会国際金融パネル・パネリスト
  • Place of Presentation: 香川大学
  • Year and Date: 2009-11-08
• [Presentation] Liquidity, Volume and Informational Efficiency : Evidence from High-frequency FX Data (2009)
  • Author(s): Iwatsubo, K.
  • Organizer: 日本ファイナンス学会
  • Place of Presentation: 青山学院大学
  • Year and Date: 2009-05-09
• [Presentation] Liquidity, Volume and Informational Efficiency : Evidence from High-frequency FX Data (2009)
  • Author(s): 岩壷健太郎
  • Organizer: 日本ファイナンス学会
  • Place of Presentation: 青山学院大学(東京都)
  • Year and Date: 2009-05-09
• [Book] グローバル・インバランスの経済分析 (2010)
  • Author(s): 藤田誠一・岩壷健太郎
  • Total Pages: 234
  • Publisher: 有斐閣
• [Book] External Adjustments under Increasing Integration in the Pacific Region(Pacific Economic Cooperation Council) (2009)
  • Author(s): 高坂章, その他
  • Total Pages: 57
• [Remarks]
  • URL: http://www.econ.kobe-u.ac.jp/doc/introduce/kouzabetsu/kinyuu/iwatsubo.html
• [Remarks]
  • URL: http://www.econ.kobe-u.ac.jp/doc/introduce/kouzabetsu/kinyuu/iwatsubo.html
• [Remarks]
  • URL: http://www.econ.kobe-u.ac.jp/doc/introduce/kouzabetsu/kinyuu/iwatsubo.html