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北匈奴人 · 2020年02月19日

问一道题：NO.PZ2018091706000042

  1. CFA II
  2. Economics Analysis

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 ）。能够把外汇市场外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。

老师上课不是讲了，纽约和伦敦的开市时间虽是时差不同，这题里所说的没有同时开市是什么意思？

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2 个答案

源_品职助教 · 2020年02月23日

真题应该出的更规范些，考虑到有很多非母语国家考生不了解夏令时，题目中应该会直接写明类似信息点，就是两个市场是不是同时在交易。

源_品职助教 · 2020年02月19日

嗨，爱思考的PZer你好：


同学你的理解是对的。

但是这里主要考虑了夏令时，夏令时的时候纽约和伦敦的开市时间就不完全同步了。


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


北匈奴人 · 2020年02月22日

在考试的时候考虑夏令时么？

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