TESTS OF MICROSTRUCTURAL HYPOTHESES IN THE FOREIGN-EXCHANGE MARKET

被引：200

作者：

LYONS, RK ^{[1
]}

机构：

[1] NATL BUR ECON RES,CAMBRIDGE,MA 02138

来源：

JOURNAL OF FINANCIAL ECONOMICS | 1995年 / 39卷 / 2-3期

基金：

美国国家科学基金会;

关键词：

FOREIGN EXCHANGE; MICROSTRUCTURE; INVENTORY; INFORMATION;

D O I：

10.1016/0304-405X(95)00832-Y

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Data in this paper support both the inventory-control and asymmetric-information approaches to microstructure theory. Strong evidence of an inventory-control effect on price is new. The transactions dataset chronicles a trading week of a spot foreign exchange dealer whose daily volume averages over $1 billion. In addition to controlling inventory with his own price, the dealer also lays off inventory at other dealers' prices and through brokers. These results highlight the importance of inventory-control theory in understanding trading in this market.

引用

页码：321 / 351

页数：31