Pacific-Basin Finance Journal ? February 2018 ? Volume 48, Pages 35-55
澳元市场中的全球价格发现及其决定因素
作者：Fei Su (Finance Discipline Group, UTS Business School, University of Technology Sydney),
Jingjing Zhang (Institute for Social and Economic Research, Nanjing Audit University, No. 86, Yushan West Rd, Nanjing, China)
摘要：随着澳大利亚在全球经济中的地位日益重要，澳元开始在全球外汇市场中发挥重要作用。利用1999年1月至2013年12月的交易数据，我们考察了两个不同时间段澳元市场价格发现的决定因素。我们发现价格发现的短期决定因素包括宏观经济新闻、下单指令流和市场状态变量（即收益率、波动性、交易量和买卖价差）。通过对跨区域信息流和动态自依赖性的控制，我们发现，在宏观经济新闻发布日，更有利的市场状态和更多意想不到的指令流对澳元市场的价格发现有重要贡献。此外，我们发现，从长期来看，较高的市场一体化与整合水平有助于价格发现过程。
关键词：价格发现；外汇市场；信息共享；宏观经济新闻；市场一体化与整合
Global price discovery in the Australian dollar market and its determinants
Fei Su (Finance Discipline Group, UTS Business School, University of Technology Sydney), Jingjing Zhang (Institute for Social and Economic Research, Nanjing Audit University, No. 86, Yushan West Rd, Nanjing, China)
ABSTRACT
With Australia's growing importance in the global economy, the Australian dollar (AUD) has started to play a significant role in the global Foreign Exchange (FX) market. Using intraday trading data over the period of January 1999 to December 2013, we examine the determinants of price discovery in the AUD markets at two different time horizons. We find that the short-run determinants of price discovery include macroeconomic news, order flows and market state variables (i.e., return, volatility, trading volume and bid/ask spread). After controlling for the cross-region information flow and dynamic self-dependence, we find that more favorable market states and more unexpected order flows on macroeconomic news announcement days make a significant contribution to price discovery in the AUD market. Furthermore, we found that a higher level of market integration and consolidation contributes to price discovery process in the long-run.
Keywords: Price discovery, Foreign exchange market, Information share, Macroeconomic news, Market integration and consolidation
原文链接：https://www.sciencedirect.com/science/article/pii/S0927538X16301731#!
翻译：施懿
