A Study of the Relationships between Exchange Rate and Order Flow－the Example of Cointegration and Error Correction Model
碩士 === 國立高雄應用科技大學 === 國際企業系 === 98 === In this paper,we use cointegration and VAR - error correction model to test the relationship between exchange rate returns and order flow. This study takes the tick-by-tick and minutely data from electronic brokerage services EBS, including EUR / USD and USD/J...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/98890194358883586563 |
| Summary: | 碩士 === 國立高雄應用科技大學 === 國際企業系 === 98 === In this paper,we use cointegration and VAR - error correction model to test the relationship between exchange rate returns and order flow. This study takes the tick-by-tick and minutely data from electronic brokerage services EBS, including EUR / USD and USD/JPY that occurs from 2 Jaunary 2007 to 31 December 2007 at GMT 7:00-17:00 .
The empirical results indicates that the exchange rate returns and order flow have cointegration in the long run. from the error correction model analysis, We find order flow in previous period can effect positively, but exchange rate can not influence order flow. There are one-way causality between order flow and exchange rate.
|
|---|