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185****6682 · 2021年10月18日

影响dealer的spread因素

  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。

影响dealer的spread的因素，不是有一个是transaction size吗，size越大spread越小，为什么这里不是因为transaction size小，导致spread变大呢？
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185****6682 · 2021年10月19日

oh 应该是size越大，spread越大，我记错了

1 个答案

丹丹_品职答疑助手 · 2021年10月19日

嗨，爱思考的PZer你好：


好的同学，这个块儿确实很多同学记不清，可以加深下记忆

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加油吧，让我们一起遇见更好的自己！

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