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    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/72707
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/72707

    Title: Trading Volume, Volatility and Bank of Japan Intervention
    Authors: 張元晨
    Chang, Yuanchen
    Contributors: 財管系
    Date: 2005-12
    Issue Date: 2015-01-08 17:58:25 (UTC+8)
    Abstract: This study examines the relationship between JPY/USD futures trading activities and foreign exchange intervention by the Bank of Japan from 1991 through 2000. It finds that there is a positive relationship between JPY/USD futures volume and volatility as predicted by the mixture of distribution hypothesis. This effect remains significant even when volume and volatility are conditioned on contemporaneous or lagged intervention by the Bank of Japan. It concludes that positive correlation between volume and volatility could result from information other than intervention by the Bank of Japan.
    Relation: Applied Financial Economics Letters, 1(2), 101-105.
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1080/17446540500079810
    DOI: 10.1080/17446540500079810
    Appears in Collections:[財務管理學系] 期刊論文

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