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2010 年 6 月份WETA@TES


2010 年 6 月份WETA@TES


WETA@TES June, 2010 - 25 June 2010, 10F, International Conference Hall, Bldg. 1, College of Management, NTU

2010 年六月份 WETA 研討會
講題:News announcements and price discovery in foreign exchange spot and futures markets
講者:高櫻芬教授 國立中央大學財務金融學系
日期:2010.6.25 (五)
時間:下午 3:30~5:00
地點:台灣大學管理學院一號館 10F 國際會議廳
This paper studies competition in price discovery between spot and futures rates for the EUR–USD and JPY–USD markets around scheduled macroeconomic announcements. Using both the information shares approach and the common factor component weight approach for futures prices from the Chicago Mercantile Exchange (CME), as well as deal prices from spot trading on the Electronic Broking Services (EBS), we gauge how foreign exchange spot and futures markets respond to news surprises. The results show that the spot rates provide more price discovery than do the CME futures rates overall; however, the contribution of the futures rates to price discovery increases in the time surrounding macroeconomic announcement releases.


高櫻芬教授為 University of California, San Diego, Department of Economics 博士,目前任職國立中央大學財務金融學系副教授,研究領域為外匯市場、金融市場、外匯風險管理、亞洲金融市場、新興金融市場國家、財務時間數列分析等,詳細期刊論文著作請參閱 高教授網頁。


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