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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/19682Full metadata record
| DC Field | Value | Language |
|---|---|---|
| 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 | - |
| Appears in Collections: | EconStor | |
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