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执瑞 Zhirui · 2024年04月03日

如果两者总是不同时开市，怎么能解释spread变大呢？因为这个流动性的变量在前一天和后一天并没有变化啊

  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。

如果两者总是不同时开市，怎么能解释spread变大呢？因为这个流动性的变量在前一天和后一天并没有变化啊

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1 个答案

笛子_品职助教 · 2024年04月04日

嗨，努力学习的PZer你好：


如果两者总是不同时开市，怎么能解释spread变大呢？因为这个流动性的变量在前一天和后一天并没有变化啊

外汇市场，当地时间的白天时间段成交活跃（所谓开市），当地时间的夜晚成交不活跃。

在美国纽约的白天时间，美元交易量活跃。但如果此时伦敦处于夜晚睡觉时间，则英镑交易不活跃。

此时，由于英镑交易不活跃，就会使英镑美元的spread加大。

这里的spread变大特指：一个开市，一个不开市，这个特定的时间段。

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