The Impact of Trading Information Sets on Exchange Rate Change and Volatility: Evidence From Taiwan

This study explores the Taiwan Dollar (TWD) as the currency of a small island economy, uses the trading information sets from overseas and the market itself to examine the impacts on the adjustment of daily spot exchange rates. The daily USD/TWD is explained by the trading information sets, contain...

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Autor principal:	Ying-Sing Liu
Formato:	article
Lenguaje:	EN
Publicado:	SAGE Publishing 2021
Materias:	History of scholarship and learning. The humanities AZ20-999 Social Sciences H
Acceso en línea:	https://doaj.org/article/2512b71ee2a54d6bb073bec63dc0905e
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spelling	oai:doaj.org-article:2512b71ee2a54d6bb073bec63dc0905e2021-11-20T00:33:28ZThe Impact of Trading Information Sets on Exchange Rate Change and Volatility: Evidence From Taiwan2158-244010.1177/21582440211052947https://doaj.org/article/2512b71ee2a54d6bb073bec63dc0905e2021-11-01T00:00:00Zhttps://doi.org/10.1177/21582440211052947https://doaj.org/toc/2158-2440This study explores the Taiwan Dollar (TWD) as the currency of a small island economy, uses the trading information sets from overseas and the market itself to examine the impacts on the adjustment of daily spot exchange rates. The daily USD/TWD is explained by the trading information sets, contain which the daily trading activities and the ratio of the real body on the daily candlestick chart of technical analysis on the Taipei Foreign Exchange Market, as well as the US-dollar index return to explain the USD/TWD spot rate change. The results showed that some of the USD/TWD changes were related to the US-dollar index return on overseas, and that the effect of the US-dollar index return was not limited to the adjustment rate from the previous closing rate to the opening rate on the day, which would affect the adjustment spot exchange rate in the intraday opening-to-closing period. There is a significant positive relationship between the real body ratio of the daily candlestick chart and the return of the exchange rate, supporting the real body ratio related to the change of the exchange rate. The study model can greatly improve the model interpretation ability of the change of exchange rate by about 50% after considering the trading activity factors. Finally, this study found that the volatility has a positive effect on Mondays and the 2008-financial crisis, and based on the shock that the news of depreciation was higher than the news of appreciation, so there exist asymmetry volatility.Ying-Sing LiuSAGE PublishingarticleHistory of scholarship and learning. The humanitiesAZ20-999Social SciencesHENSAGE Open, Vol 11 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	History of scholarship and learning. The humanities AZ20-999 Social Sciences H
spellingShingle	History of scholarship and learning. The humanities AZ20-999 Social Sciences H Ying-Sing Liu The Impact of Trading Information Sets on Exchange Rate Change and Volatility: Evidence From Taiwan
description	This study explores the Taiwan Dollar (TWD) as the currency of a small island economy, uses the trading information sets from overseas and the market itself to examine the impacts on the adjustment of daily spot exchange rates. The daily USD/TWD is explained by the trading information sets, contain which the daily trading activities and the ratio of the real body on the daily candlestick chart of technical analysis on the Taipei Foreign Exchange Market, as well as the US-dollar index return to explain the USD/TWD spot rate change. The results showed that some of the USD/TWD changes were related to the US-dollar index return on overseas, and that the effect of the US-dollar index return was not limited to the adjustment rate from the previous closing rate to the opening rate on the day, which would affect the adjustment spot exchange rate in the intraday opening-to-closing period. There is a significant positive relationship between the real body ratio of the daily candlestick chart and the return of the exchange rate, supporting the real body ratio related to the change of the exchange rate. The study model can greatly improve the model interpretation ability of the change of exchange rate by about 50% after considering the trading activity factors. Finally, this study found that the volatility has a positive effect on Mondays and the 2008-financial crisis, and based on the shock that the news of depreciation was higher than the news of appreciation, so there exist asymmetry volatility.
format	article
author	Ying-Sing Liu
author_facet	Ying-Sing Liu
author_sort	Ying-Sing Liu
title	The Impact of Trading Information Sets on Exchange Rate Change and Volatility: Evidence From Taiwan
title_short	The Impact of Trading Information Sets on Exchange Rate Change and Volatility: Evidence From Taiwan
title_full	The Impact of Trading Information Sets on Exchange Rate Change and Volatility: Evidence From Taiwan
title_fullStr	The Impact of Trading Information Sets on Exchange Rate Change and Volatility: Evidence From Taiwan
title_full_unstemmed	The Impact of Trading Information Sets on Exchange Rate Change and Volatility: Evidence From Taiwan
title_sort	impact of trading information sets on exchange rate change and volatility: evidence from taiwan
publisher	SAGE Publishing
publishDate	2021
url	https://doaj.org/article/2512b71ee2a54d6bb073bec63dc0905e
work_keys_str_mv	AT yingsingliu theimpactoftradinginformationsetsonexchangeratechangeandvolatilityevidencefromtaiwan AT yingsingliu impactoftradinginformationsetsonexchangeratechangeandvolatilityevidencefromtaiwan
_version_	1718419824092119040

The Impact of Trading Information Sets on Exchange Rate Change and Volatility: Evidence From Taiwan

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