서강대학교

초록/요약

This paper examines the existence and the extent of the private information in the Seoul Foreign Exchange Market based on a dynamic market microstructure model. We focus on the trading process to extract the information which affects the foreign exchange rate and forecast the dynamics of trades and trade compositions. We estimate the arrival rates of informed and uninformed trades with the number of buys and sells for daily basis in 2006. Our results show that the uninformed trades which are derived from the balanced trades indicate a trend following, but the informed trades from the trade imbalance respond negatively to past forecasts of the informed intensity. A further interesting result is in the negative relation between the informed traders and the uninformed traders. This means that uninformed traders attempt to time their trades to avoid informed traders by reducing their orders. In addition, we generate the proxy variable for the forecasts of private information, so called PIN by using the arrival rates of informed and uninformed trades, and use this PIN to forecast market characteristic variables such as liquidity measured by bid-ask spreads. Against our expectation, the probability of information-based trade has no significant effect on market liquidity.