台大计量理论与应用研究中心 (CRETA)、台湾经济计量学会与台大财务金融学系， 将共同举办六月份Workshop on Econometrics:Theory and Application(WETA@TES)。 2010 年六月份WETA 研讨会 讲题：News announcements and price discovery in foreign exchange spot and futures markets 讲者：高樱芬教授 国立中央大学财务金融学系 日期：2010.6.25 (五) 时间：下午 3:30~5:00 地点：台湾大学管理学院一号馆 10F 国际会议厅 讲题摘要： This paper studies competition in price discovery between spot and futures rates for the EUR–USD and JPY–USD markets around scheduled macroeconomic announcements. Using both the information shares approach and the common factor component weight approach for futures prices from the Chicago Mercantile Exchange (CME), as well as deal prices from spot trading on the Electronic Broking Services (EBS), we gauge how foreign exchange spot and futures markets respond to news surprises. The results show that the spot rates provide more price discovery than do the CME futures rates overall; however, the contribution of the futures rates to price discovery increases in the time surrounding macroeconomic announcement releases. WETA研讨会为不需事前报名且完全免费的研讨会， 会後并备有简单茶点，以供与会者进一步交换意见， 欢迎各位参加!! 也欢迎大家介绍非会员朋友加入台湾经济计量学会与 WETA。 如有问题，欢迎来信或来电: ( E-mail: <[email protected] >; Tel: 02-3366-1072) --

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