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zeke · 2024年02月08日

一般多大量的交易会算large transaction呀？

  1. CFA II
  2. Economics Analysis

NO.PZ2018091706000042

问题如下：

BBQ firm is an American company and exports steel to a firm which is in England. Assume BBQ receives the payment of 3,600,000 GBP now and it wants to change these pounds into dollars. The spot exchange market rate is 1.5500 USD/GBP for bid and 1.5505 for ask. A day after, BBQ calls a dealer who quotes 1.5498 USD/GBP for bid and 1.5507 for ask. Which of the following reasons cannot explain the dealer quote?

选项：

A.

Because it is a small transaction.

B.

Because the New York and London exchange market are not both open.

C.

Because the volatility of market is getting large.

解释：

A is correct.

考点：Factors that affect the bid-offer spread

解析：我们观察到交易商A的报价的价差是0.0009（ =1.5507-1.5498 ）明显高于前一日的市场报价的价差0.0005（ 1.5505-1.5500 ）。能够把外汇市场卖价差拉大的原因包括：市场风险加大；纽约和伦敦市场没有同时开市，市场流动性减少 ；以及交易量过大，抽干了市场的流动性。A选项说法反了，所以入选不能解释的选项。

一般多大量的交易会算large transaction呀？

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笛子_品职助教 · 2024年02月08日

嗨，努力学习的PZer你好：


Hello, 亲爱的同学~


原版书并没有对大交易，小交易规定一个量化标准，所以，这里只能看定性描述


先了解一个知识点，价差变动与交易大小的关系: 大交易会让价差变大。


本题，价差是扩大的，根据大交易会让价差扩大扩大的知识点，A选项的小交易，不能解释价差扩大的原因。





----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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