关于WMR基准汇率操纵行为的实证研究-金融学专业论文.docxVIP

WMR基准汇率对即期汇率影响的实证研究摘要 WMR基准汇率对即期汇率影响的实证研究 摘要 WMR基准汇率又名“London 4pm Fix”，由Word Market Company和路透社 在伦敦时间下午4：00pm发布。WMR基准汇率作为全球外汇市场中最重要的基准 汇率之一，其重大的经济价值刺激了市场投资者集中在3：45pm．4：00pm这一特定 时间段内进行外汇交易。通过利用从TRTH和CME Group获得的CAD／USD高频 交易数据，对即期汇率价格，成交量，指令流绝对量，波动率，价差的波动特征 进行的实证分析结果显示：4：00pm前后的汇率波动特征以及市场微观结构相比于 其他时间段确实非常特殊，WMR基准汇率明显存在被外汇交易商操纵过的痕迹。 随后即期汇率对指令流的多元回归分析结果证明了该基准汇率被操纵的猜测。由 于人为的操纵而非市场真实需求，即期汇率在3：45pm．4：00pm之间更容易受到指 令流的影响，并且更加容易回归到原始的水平。针对WMR基准汇率容易被操纵 的漏洞，可以从以下三个方面采取措施：改革WMR基准汇率计价方式；规范市 场参与者关于主要外汇基准汇率的行为；加强外汇市场的交易系统硬件设施建设。 关键词：WMR基准汇率；“fill．at．fⅨ”交易指令；指令流；；E率操纵；外汇交易商 Ⅱ 万方数据 硕士学位论文Abstract 硕士学位论文 Abstract “WMR Fix”，also named“London 4pm Fix”，is published by Word Market Company and Reuters at 4：00pm GMT．As one of the most important benchmarks in the world， “WMR Fix”provides standard rates for the valuation of multi-currency equity and bond， the calculation of various credit indices and the pricing of options and futures．Due to its economic incentives，market participants like fund managers and dealer banks，prefer trading around the F ix window．In this paper，we observe spot rate trading pattern during the day and around 4：00pm(GMT)and find that the behavior of trading volume，absolute order flow，volatility and spread are quite unusual over this specific time．Furthermore，we also explain how dealer banks can manipulate the spot rate and as well the reason behind the“front running”phenomenon．After the multiple regression analysis between the spot rate and order flow，we find out that order flows have more power to influence spot rates and spot rates are more eager to revert to previous level around the Fix benchmark window． Therefore，we conclude that spot rate manipulation by dealer banks through trading in large quantity before and within Fix window really exists．Finally,we put forward some suggestions on the revolution of the WMR Fix，which includes adjusting the calculation method of WMR Fix， Key words：“WMR Fix”，“fill—at—fix”order，Order Flow,spot rate manipulation，dealer banks Ill 万