أعرض تسجيلة المادة بشكل مبسط

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


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أعرض تسجيلة المادة بشكل مبسط