市場に流入する情報と為替レートのボラティリティ
スポンサーリンク
概要
- 論文の詳細を見る
Information flowed into foreign exchange market must have some effect on foreign exchange rate if market is efficient. In this paper, we inquire into the relations between information inflow and foreign exchange rate volatility with Ultra High Frequency JPY/USD rate data. To test the hypothesis, we develop 480 minutes interval data from UHFD and use GARCH with t distribution model. The number of tick and the number of news headline are employed as the proxy variable of information inflow. In making our data set, we eliminate such factors which might be a source of anomalies as the time of the day, the day of the week. From our empirical result, we can confirm that foreign exchange rate follows strong form market efficiency, because the number of tick has significant effect on foreign exchange rate volatility. If foreign exchange dealers are information based dealer, they trade whenever they get new information and this trade is recorded as one tick. Therefore, the action of their trade reflects new information arrival and this action can be captured by the number of tick.
- 2006-02-24