本文利用電子仲介服務系統2007年1月至2007年12月EUR／USD與USD／JPY每分鐘逐筆交易，探討總體新聞宣告、委託單流量及匯率三者關係。實證結果顯示：（1）委託單流量對匯率報酬顯著影響；（2）總體新聞宣告對匯率報酬有兩個影響途徑：直接經由立即的總體新聞宣告反應，以及間接經由委託單流量傳遞，因此，委託單流量不僅包含私有訊息亦包含公開訊息；（3）進一步發現，委託單流量與匯率報酬兩者之間存在回饋關係。

In this study, we examine the impacts of macroeconomic announcements and order flow on exchange rates. This study uses the tick-by-tick and minutely data from electronic brokerage services, including EUR/USD and USD/JPY from January 2007 to December 2007. The empirical results show that order flow has an influence on exchange rates. Moreover, macroeconomic announcements have an impact on the EUR/USD and USD/JPY market which is transmitted directly via immediate reactions and indirectly via order flow. Therefore, order flow contains not only public information but also private information. In addition, order flow and exchange rates have a feedback relationship with each other.