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Impact de l'information et de la liquidité sur le taux de change
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ISBN10: 3841633021
ISBN13: 9783841633026
Publisher: Lightning Source Inc
Published: Jul 10 2015
Pages: 116
Weight: 0.40
Height: 0.28 Width: 6.00 Depth: 9.00
Language: French
ISBN13: 9783841633026
Publisher: Lightning Source Inc
Published: Jul 10 2015
Pages: 116
Weight: 0.40
Height: 0.28 Width: 6.00 Depth: 9.00
Language: French
La théorie de la microstructure démontre que l'arrivée de la nouvelle information véhiculée par le flux d'ordre ainsi que la liquidité ont un impact sur les taux de change. L'idée est, donc, d'étudier conjointement l'effet de la transmission de l'information et de la liquidité afin de cerner laquelle de ces deux variables affecte le plus le prix dans le marché de change. Une validation empirique a été menée sur des données à hautes fréquences tick by tick, collectés par REUTERS pour les journées du 12/10/2012 et du 22/10/2012. Le choix de la période étudié coïncide avec la dégradation des entreprises Espagnoles et l'intervention de la Banque Centrale Européenne (BCE). Comparé à l'information, l'impact de la liquidité mesuré par le volume des transactions sur le taux de change est plus significatif.
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