题目: Housewives of Tokyo versus the Gnomes of Zurich: Measuring
Price Discovery in Sequential Markets
演讲者：Jianxin Wang，Australian School of Business ，University of
New South Wales
时间: 2009年1月5日（星期一）9：00—10：30 AM
地点: 嘉庚二501
参加者: 对财务研究有兴趣的广大师生
主持人： 沈哲老师
论文摘要：
This paper examines market-specific contributions to price discovery in sequential markets, where changes in the efficient price are embedded in the sequential price changes across markets defined by time zones. We propose a structural VAR model to identify market-specific shocks to the efficient price and to measure a market’s contribution to price discovery.The model is applied to the 24-hour trading of AUD, JPY, EUR, and GBP against USD over an eight-year sample period. We estimate the information shares, in the sense of Hasbrouck (1995), of four sequential markets around the world. We find that Europe remains highly significant for the pricing of all four exchangerates. Asia is gaining information shares in EUR and GBP but is losing information shares in AUD and JPY. Currency trading is still dominated by institutional investors in Europe and the United States. The price impact of the housewives of Tokyo may have been overstated.
论文作者简介：
Dr Jian-Xin Wang is a Senior Lecturer in the Department of Banking and Finance of Australian School of Business at University of New South Wales. He got his BS degree from Tsinghua University, MA degree from Kansas University and PhD from Northwestern University. His research interests include market microstructure, trading mechanisms, price discovery in financial markets and Asian emerging capital markets.
论文：论文.rar