微观结构在我国即期外汇市场的理论检验  

Test of Microstructural Hypotheses in the CNY Foreign Exchange Market

作　　者：邹佳洪[1] 

机构地区：[1]对外经济贸易大学金融学院

出　　处：《投资研究》2016年第12期134-144,共11页Review of Investment Studies

摘　　要：存货理论和信息理论是微观结构领域的两大基础理论。本文通过某行一周真实的高频交易数据进行实证检验,发现我国银行间即期外汇市场同时存在存货效应和信息效应,且后者对价格的影响强于前者,这与我国银行间外汇市场参与者的交易习惯、交易策略等关系较大。There are two basic theories in the microstructure study area-inventory effect and information effect. The paper usingreal high-frequency bank＇s trading data for a week to do empirical test, find inventory effect and information effect both exist in the inter-bank spot foreign exchange market,meanwhilethe latter effect is stronger than the former, which may be related to trader＇s habit or strategy, and other ingredients.

关 键 词：存货效应 信息效应 汇率 

分 类 号：F832.6[经济管理—金融学]