Foreign Exchange Volume: Sound and Fury Signifying Nothing?
Foreign Exchange Volume: Sound and Fury Signifying Nothing?
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外汇交易量：喧哗与骚动毫无意义？
DOI：
10.3386/w4984
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发表时间：
1995
期刊：
影响因子：
--
通讯作者：
R. Lyons
中科院分区：
文献类型：
--
作者：
R. Lyons
本文研究了货币交易量是否具有信息性，以及在什么情况下具有信息性。具体来说，我们使用交易数据来测试交易强度高时发生的交易是否比交易强度低时发生的交易更具信息性。理论承认这两种可能性，主要取决于假定的信息结构。我们提出了一个货币交易的烫手山芋模型，这解释了为什么低强度交易可能更有信息量。在该模型中，随着订单流的创新，经销商之间的库存管理交易浪潮产生了强度和信息含量之间的反比关系。从经验上看，低密集度的贸易信息量更大，这支持了烫手山芋假说。"
This paper examines whether currency trading volume is informative, and under what circumstances. Specifically, we use transactions data to test whether trades occurring when trading intensity is high are more informative - dollar for dollar - than trades occurring when intensity is low. Theory admits both possibilities, depending primarily on the posited information structure. We present what we call a hot-potato model of currency trading, which explains why low-intensity trades might be more informative. In the model, the wave of inventory-management trading among dealers following innovations in order flow generates an inverse relationship between intensity and information content. Empirically, low-intensity trades are more informative, supporting the hot-potato hypothesis."