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【活动预告·学术沙龙】

发布时间:2021-12-20


时间:2021年12月22日(周三)15:00

地点:商学院A204教室

嘉宾:廖文如博士

主题:Trading Activities and Price Discovery in Foreign Currency Futures Markets

摘要:This study investigates the relation between trading activities and the price discovery efficacy of the futures markets for EUR-USD and JPY-USD. According to data pertaining to weekly positions, collected from the Commitments of Traders reports dis­tributed by the Commodity Futures Trading Commission, the information share of cur­rency futures markets declines with hedgers’ positions but increases with speculators’ positions. fu addition, both hedgers’ expected and unexpected positions have negative impacts on the contribution of the futures market; the futures market’ s information share relates positively to speculators’ expected positions but is uncorrelated with speculators’ unexpected positions.