作者cretantu (計量理論與應用研究中心)
看板NTUfinGrad00
標題[情報] CRETA六月份WETA研討會訊息
時間Mon Jun 21 17:44:40 2010
臺大計量理論與應用研究中心 (CRETA)、臺灣經濟計量學會與臺大財務金融學系,
將共同舉辦六月份Workshop on Econometrics:Theory and Application(WETA@TES)。
2010 年六月份WETA 研討會
講題:News announcements and price discovery in foreign exchange spot
and futures markets
講者:高櫻芬教授 國立中央大學財務金融學系
日期:2010.6.25 (五)
時間:下午 3:30~5:00
地點:台灣大學管理學院一號館 10F 國際會議廳
講題摘要:
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研討會為不需事前報名且完全免費的研討會,
會後並備有簡單茶點,以供與會者進一步交換意見,
歡迎各位參加!! 也歡迎大家介紹非會員朋友加入台灣經濟計量學會與 WETA。
如有問題,歡迎來信或來電: ( E-mail: <
[email protected] >; Tel: 02-3366-1072)
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