2013 Fiscal Year Final Research Report
Empirical Study on Trade Structure under Financial Crisis and Stock Markets Comovement
| Project/Area Number |
23530308
|
|---|
| Research Category |
Grant-in-Aid for Scientific Research (C)
|
| Allocation Type | Multi-year Fund |
|---|
| Section | 一般 |
|---|
| Research Field |
Applied economics
|
|---|
| Research Institution | Shiga University (2012-2013)
Kyushu Sangyo University (2011) |
|---|
Principal Investigator |
|
|---|
| Project Period (FY) |
2011 – 2013
|
| Keywords | 金融危機 / 金融市場の連動性 / オーダーの滞在期間 / ティック分析 / 外国為替市場 / 為替介入 / オーダーフロー |
|---|
| Research Abstract |
(1)We estimate the spillover from advanced countries and international financial markets to developed countries, namely African countries, during the global financial crisis. From the onset of sub-prime crisis in the U.S., the spillovers among Africa are negligible and the spillovers from European countries exceeded those from the U.S.
(2)We measure the life-time of orders in the EBS foreign exchange markets. We propose the life-time analysis in which life-time of orders are regressed on (i)order volume, (ii)quote spread from market best quote, (iii)cumulated volume in the order book, (iv)market speed. In addition to finding these variables statistically significant, we also find foreign exchange intervention measured by minute interval significantly reduce the life-time of orders.
|
