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Puzzles in the Tokyo Fixing in the Forex Market : Order Imbalances and Bank Pricing
http://hdl.handle.net/2261/60847
http://hdl.handle.net/2261/608479c6778a5-5ff9-4952-83ed-0550015c9c4d
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
wp087.pdf (2.2 MB)
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| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2016-09-02 | |||||
| タイトル | ||||||
| タイトル | Puzzles in the Tokyo Fixing in the Forex Market : Order Imbalances and Bank Pricing | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | foreign exchange markets | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | fixing | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Tokyo fixing | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | WM/Reuters | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | efficient market | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | spikes | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| 著者 |
Ito, Takatoshi
× Ito, Takatoshi× Yamada, Masahiro |
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| 著者所属 | ||||||
| 著者所属 | School of International and Public Affairs, Columbia University | |||||
| 著者所属 | ||||||
| 著者所属 | National Graduate Institute for Policy Studies | |||||
| 著者所属 | ||||||
| 著者所属 | Faculty of Economics, Hitotsubashi University | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | Fixing in the foreign exchange market, in Tokyo at 10am and in London at 4pm, is a market practice that determines the bid-ask-mid-point exchange rate at a scheduled time of the day in Japan. The fixing exchange rate is then applied to the settlement of foreign exchange transactions between banks and retail customers including broker dealers, institutional investors, insurance companies, exporters and importers, with varying bid-ask spreads. The findings for the Tokyo fixing are summarized as follows. (1) Price spikes are more frequent than the London fixing. (2) The customer orders are biased toward buying the foreign currencies, and this is predictable. (3) Trading volumes and liquidity concentrate on the USD/JPY. (4) Before 2008, the fixing price set by banks was biased upward, and higher than the highest transaction price during the fixing time window; the banks were earning monopolistic profits, but this gap disappeared after 2008. (5) The fixing price is still above the average transaction prices in the fixing window, suggesting that banks make profits, but that can be understood considering the risk of maintaining the fix for the rest of the business day. And (6) calendar effects also matter for the determination of the fixing rate and the price fluctuation around fixing. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 2012～2016年度科学研究費補助金[基盤研究(S)]「長期デフレの解明」(研究代表者 東京大学経済学研究科・渡辺努, 課題番号：24223003) | |||||
| 書誌情報 |
JSPS Grants-in-Aid for Scientific Research (S) Understanding Persistent Deflation in Japan Working Paper Series 巻 087, 発行日 2016-09 |
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| 出版者 | ||||||
| 出版者 | UTokyo Price Project | |||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.price.e.u-tokyo.ac.jp/researchdata/ | |||||
