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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/19682| Title: | End-user order flow and exchange rate dynamics |
| Keywords: | F31 ddc:330 Foreign exchange market microstructure end-user order flow Wechselkurs Devisenhandel Mikrostrukturanalyse Devisenmarkt Schätzung Deutschland |
| Issue Date: | 16-Oct-2013 |
| 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. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/19682 |
| Other Identifiers: | http://hdl.handle.net/10419/19682 ppn:528421638 RePEc:zbw:bubdp1:5559 |
| Appears in Collections: | EconStor |
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