Price discovery and liquidity recovery: Forex market reactions to macro announcements
Price discovery and liquidity recovery: Forex market reactions to macro announcements
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价格发现和流动性恢复：外汇市场对宏观公告的反应
DOI：
10.1016/j.jimonfin.2021.102502
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发表时间：
2022
影响因子：
2.5
通讯作者：
Masahiro Yamada and Takatoshi Ito
中科院分区：
文献类型：
--
作者：
原 圭史郎;Etsuro Shioji;Masahiro Yamada and Takatoshi Ito
我们使用EBS高频数据检验了20年来外汇市场质量（以宏观统计数据公布后价格发现和流动性恢复的速度来衡量）是否有所改善。考虑到最近计算机交易的兴起，一种流行的猜测是市场质量有所改善。然而，我们的实证分析表明，改善的趋势只在价格发现中观察到。此外，这两个指标是负相关的，因为交易员数量的增加提高了流动性，但减缓了价格发现。从理论上讲，后一项发现意味着“快速”交易者对消息将如何影响价格的解释很差。
We examine whether the forex market quality, measured by the speed of price discovery and liquidity recovery after macro statistics announcements, has improved using the EBS highfrequency data for 20 years. Considering the recent rise of computer-based trading, a popular conjecture is that the market quality has improved. Our empirical analysis, however, suggests that an improving trend is only observed in price discovery. Moreover, two measures are negatively correlated because an increasing number of traders improves liquidity but slows down price discovery. Theoretically, the latter finding implies that “fast” traders have a poor interpretation of how the news will impact prices.