Partial price adjustment and autocorrelation in foreign exchange markets
Partial price adjustment and autocorrelation in foreign exchange markets
复制标题
外汇市场的部分价格调整和自相关
DOI：
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发表时间：
2004
期刊：
影响因子：
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通讯作者：
Sangyong Jooc
中科院分区：
文献类型：
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作者：
Kyong Shik Eoma;Sang Buhm Hahnb;Sangyong Jooc
本文研究了韩元/美元外汇市场的自相关性。与发达国家的外汇市场形成对比的是，我们发现直到最近才发现显著的正自相关性，部分价格调整是唯一可信的解释。我们发现，随着外汇市场的逐步放开，这种自相关性被消除了。市场信息效率显著提高，新信息完全纳入汇率所需时间从8个交易日减少到不到1天。我们从市场微观结构的角度研究了自相关性的决定因素，发现自相关性与波动性无关，只有在外汇自由化的最后阶段才与交易量相关。虽然自由化允许更大的自由进行投机交易，但我们的结果表明，大部分交易是为了对冲而不是投机目的。
This paper studies autocorrelation in the won/dollar Foreign Exchange (FX) market. In contrast to FX markets in developed countries, we find significant positive autocorrelation until quite recently, with partial price adjustment the only plausible explanation. We find that the autocorrelation was eliminated as the FX market was gradually liberalized. The informational efficiency of the market was significantly improved, with the time required for new information to be fully incorporated into the exchange rate diminishing from eight trading days to less than one day. We study the determinants of the autocorrelation from a market microstructure point of view, finding that the autocorrelation was not related to volatility, and was related to trading volume only after the final stage of the FX liberalization. While the liberalization allowed greater freedom to make speculative trades, our results suggest that the bulk of the trade was for hedging rather than speculative purposes