主题：Macroeconomic Announcement, Jump,and Price Discovery 

　　  in the Foreign Exchange Market 

主讲：吴震星博士，中南财经政法大学　  

主持：高翔   

时间：10月12日（周五）下午14：00 -15：30   

地点：上海商学院徐汇校区14楼研讨室  　　　　　    

　　内容提要：This paper proposes to calculate the information share by decomposing the aggregate volatility into continuous volatility andjump components in examining how macroeconomic news is incorporated into exchange rates across different trading regions. The results show that information shares based on the continuous volatility component provide similar results with previous studies by the total price volatility and the patterns of information share do not change around days with and without news releases. However, we find that the price discovery efficacy captured by the jump over the Asian trading-period, which is shown to convey less information than other markets in the analysis of aggregate volatility, is significantly higher than those from the other trading periods during days with announcements. The evidence suggests that the discontinuous volatility component reacts more promptly to information shocks that occur during macroeconomic announcement days. 

　　本文主要将价格波动度拆解成连续与非连续的两部份，进而建立一个衡量价格发现的新方法。利用此方法探讨宏观经济宣告所隐含的信息如何反映到不同时区的外汇价格上。研究结果证明：根据连续价格波动所建立的指标，不管是否存在宏观经济宣告，不同时区的价格发现能力都没有显著的差异变化。但是非连续价格波动所建立的指标却有显着的变化。随着某些时区有宏观经济宣告时，该时区的价格发现能力会显着上升。本文提供了一个新的见解：传统文献认为，美国以外地区的宏观经济宣告对于汇率均无显着的影响能力，此偏误的结论是因为过去文献未考虑非连续价格波动度的角色。 　　

　　演讲者简介：吴震星，于台湾中央大学取得管理学博士学位。现为中南财经政法大学金融学院讲师。研究领域包括市场微结构、国际金融市场、高频交易(程序交易) 等。并先后在Journal of International Money and Finance, Journal of International Financial Markets, Institutions & Money, Journal of Financial Studies等期刊发表论文。 

主办单位：上海商学院财金研究所 

承办单位：上海商学院财金研究所