Trading mechanisms and price discovery: theory andevidence from the Chinese interbank FX market（交易机制与价格发现：来自中国市场的理论与证据）
主讲人：
邹炬伸（8797威尼斯老品牌金融学系博士生，研究方向：市场微观结构、金融经济学、金融市场、国际金融；已有成果发表于Insurance: Mathematics and Economics等期刊；曾担任International Review of Financial Analysis, Finance Research Letters等SSCI期刊匿名审稿人）
题目：
Trading mechanisms and price discovery: theory and evidence from the Chinese interbank FX market（交易机制与价格发现：来自中国市场的理论与证据）
时间：
2022年9月20日周二
12:00-13:30
地点：
8797威尼斯老品牌302会议室
摘要：We examine the price discovery in the Chinese interbank foreign exchange market after a parallel introduction of an over-the-counter (OTC) market to a pre-existing limit order book (LOB) market. We find that: (1) while most of the trading (over 90%) has migrated from the LOB to OTC, the LOB market strikingly maintains a substantial (46%) information share despite its tiny market share; (2) in the OTC market, medium-size trades contribute the most to the price discovery but as the trade size increases its impact diminishes dramatically; (3) trade size has a larger positive impact on the price discovery in the LOB compared to the OTC. Next, we develop a theoretical model of parallel markets with informed traders that can rationalize our empirical findings. The model predicts that informed traders face a U-shape (upwards-sloping) price function in the OTC (LOB) market, and thus would be more likely to execute medium-size trades to the OTC. We test it and find supporting evidence.
