Microstructure analysis on liquidity and informational efficiency in the foreign exchange market
| Project/Area Number |
21730253
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Single-year Grants |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Kobe University |
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Principal Investigator |
IWATSUBO Kentaro 神戸大学, 大学院・経済学研究科, 准教授 (90372466)
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| Project Period (FY) |
2009 – 2011
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| Project Status |
Completed (Fiscal Year 2011)
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| Budget Amount *help |
¥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)
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| 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 |
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| 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.
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Report
(4 results)
Research Products
(39 results)
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[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
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