کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7374162 1479842 2018 21 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Global price discovery in the Australian dollar market and its determinants
ترجمه فارسی عنوان
کشف قیمت جهانی در بازار دلار استرالیا و عوامل تعیین کننده آن
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
With Australia's growing importance in the global economy, the Australian dollar (AUD) has started to play a significant role in the global Foreign Exchange (FX) market. Using intraday trading data over the period of January 1999 to December 2013, we examine the determinants of price discovery in the AUD markets at two different time horizons. We find that the short-run determinants of price discovery include macroeconomic news, order flows and market state variables (i.e., return, volatility, trading volume and bid/ask spread). After controlling for the cross-region information flow and dynamic self-dependence, we find that more favorable market states and more unexpected order flows on macroeconomic news announcement days make a significant contribution to price discovery in the AUD market. Furthermore, we found that a higher level of market integration and consolidation contributes to price discovery process in the long-run.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Pacific-Basin Finance Journal - Volume 48, April 2018, Pages 35-55
نویسندگان
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