| dc.creator |
Taylor, Mark P. |
|
| dc.creator |
Schmidt, Markus |
|
| dc.creator |
Reitz, Stefan |
|
| dc.date |
2007 |
|
| dc.date.accessioned |
2013-10-16T07:06:16Z |
|
| dc.date.available |
2013-10-16T07:06:16Z |
|
| dc.date.issued |
2013-10-16 |
|
| dc.identifier |
http://hdl.handle.net/10419/19682 |
|
| dc.identifier |
ppn:528421638 |
|
| dc.identifier |
RePEc:zbw:bubdp1:5559 |
|
| dc.identifier.uri |
http://koha.mediu.edu.my:8181/xmlui/handle/10419/19682 |
|
| dc.description |
In this paper we provide evidence for Evans and Lyons' (2005b) model of an information aggregation process in FX markets using a German bank's end-user order flow from 2002 to 2003. Though customer order flow is unambiguously the vehicle incorporating non-public information into exchange rates over time, our empirical analysis does not support the widespread optimism in the market microstructure literature that customer order flow is the high-powered source of information easily exploitable for short-run speculation. Moreover, commercial customers' order flow produces negative coefficients in contemporaneous return regressions, stressing their role as liquidity providers. |
|
| dc.language |
eng |
|
| dc.relation |
Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2007,05 |
|
| dc.rights |
http://www.econstor.eu/dspace/Nutzungsbedingungen |
|
| dc.subject |
F31 |
|
| dc.subject |
ddc:330 |
|
| dc.subject |
Foreign exchange |
|
| dc.subject |
market microstructure |
|
| dc.subject |
end-user order flow |
|
| dc.subject |
Wechselkurs |
|
| dc.subject |
Devisenhandel |
|
| dc.subject |
Mikrostrukturanalyse |
|
| dc.subject |
Devisenmarkt |
|
| dc.subject |
Schätzung |
|
| dc.subject |
Deutschland |
|
| dc.title |
End-user order flow and exchange rate dynamics |
|
| dc.type |
doc-type:workingPaper |
|