做市商制度、做市商定价行为与汇率波动  

Market Maker System,Market Maker Pricing Behavior and Exchange Rate Fluctuation

作　　者：姬新龙 贺姝 任镓彤 JI Xin-long;HE Shu;REN Jia-tong(School of Finance,Lanzhou University of and Economics,Lanzhou 730020,China)

机构地区：[1]兰州财经大学金融学院

出　　处：《兰州财经大学学报》2019年第5期76-85,共10页Journal of Lanzhou University of Finance and Economics

基　　金：国家社科基金项目“新时代人民币国际化的动力机制与战略优化研究”(18BJL107);2016年度甘肃省社科规划项目(YB061)

摘　　要：从外汇做市商的定价行为出发,对外汇价差和汇率波动的关系进行了理论推导,以欧元、港币、美元和日元四种外汇为样本进行定量研究,同时考虑制度背景进行对比检验。结果发现:我国外汇做市商制度推行以后,外汇买卖价差及其变化幅度双向扩大,且存在日间效应,即价差的扩大长期依赖过去价差的形成,但做市商报价行为可以在一定程度上抑制汇率波动产生的不利影响。上述结论表明,进一步完善汇率形成机制并确定合理的外汇报价点差范围,能使做市商优势发挥到最佳。Based on the pricing behavior of foreign exchange market makers,the paper conducts theoretical deductions on the relationship between the bid-ask spread of foreign exchange and the fluctuation of exchange rate and makes a quantitative study with the sample data of four foreign currencies: EUR,HK dollar,US dollar and Japanese yen while taking into account the system setting for comparative examination.It is found that both the foreign exchange bid-ask spread and its variation range enlarge with the introduction of China’s foreign exchange market maker system.There is a daytime effect that the augmentation of the bid-ask spread depends on the pattern of the past spread.However the market maker’s quoting behavior can contain the adverse effects of exchange rate fluctuations somewhat.The above conclusions show that further improving the exchange rate formation mechanism and determining a reasonable range of foreign exchange quotes spread can make the market maker’s advantage to the best.

关 键 词：做市商 买卖价差 汇率波动集聚 

分 类 号：F832.51[经济管理—金融学]