Empirical Study on Trade Structure under Financial Crisis and Stock Markets Comovement

(1)我们估计了全球金融危机期间发达国家和国际金融市场对发达国家，即非洲国家的溢出效应。从美国次贷危机开始，非洲国家的溢出效应可以忽略不计，欧洲国家的溢出效应超过了美国。(2)我们测量了EBS外汇市场订单的生命周期。我们提出了生命周期分析，其中订单的生命周期根据(i)订单量，（ii）市场最佳报价价差，（iii）订单簿累积交易量，（iv）市场速度进行回归。除了发现这些变量具有统计显著性外，我们还发现以分钟间隔衡量的外汇干预显著降低了订单的生命周期。

(1)We estimate the spillover from advanced countries and international financial markets to developed countries, namely African countries, during the global financial crisis. From the onset of sub-prime crisis in the U.S., the spillovers among Africa are negligible and the spillovers from European countries exceeded those from the U.S.(2)We measure the life-time of orders in the EBS foreign exchange markets. We propose the life-time analysis in which life-time of orders are regressed on (i)order volume, (ii)quote spread from market best quote, (iii)cumulated volume in the order book, (iv)market speed. In addition to finding these variables statistically significant, we also find foreign exchange intervention measured by minute interval significantly reduce the life-time of orders.