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Customer foreign exchange orders: When timing really does matter

Author

Listed:
  • Sviatoslav Rosov

    (London School of Economics and Political Science, UK)

  • F Douglas Foster

    (UTS Business School, University of Technology, Sydney, Australia)

Abstract

This paper investigates customer foreign exchange (FX) transactions to learn if there are any groups of customers whose transactions are related to subsequent FX rate changes. We use a unique data set from an Australian commercial bank with every customer FX trade in the spot Australian Dollar/US Dollar market between 2005 and 2010. We use Monte Carlo simulation to generate benchmark expected cash flows for each individual customer. This enables us to determine whether that customer’s transaction history is well-timed and therefore potentially relevant for FX determination. We find very few customers whose transactions appear well-timed, given subsequent FX rate changes.

Suggested Citation

  • Sviatoslav Rosov & F Douglas Foster, 2014. "Customer foreign exchange orders: When timing really does matter," Australian Journal of Management, Australian School of Business, vol. 39(3), pages 351-368, August.
    • Handle: RePEc:sae:ausman:v:39:y:2014:i:3:p:351-368
    DOI: 10.1177/0312896213496257
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    References listed on IDEAS

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    7. Martin D. D. Evans & Richard K. Lyons, 2017. "Understanding Order Flow," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 13, pages 507-546, World Scientific Publishing Co. Pte. Ltd..
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    Cited by:

    1. Linnenluecke, Martina K. & Chen, Xiaoyan & Ling, Xin & Smith, Tom & Zhu, Yushu, 2016. "Emerging trends in Asia-Pacific finance research: A review of recent influential publications and a research agenda," Pacific-Basin Finance Journal, Elsevier, vol. 36(C), pages 66-76.

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    More about this item

    Keywords

    Customer orders; foreign exchange; information flows;
    All these keywords.

    JEL classification:

    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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