End-user order flow and exchange rate dynamics - a dealer's perspective
AbstractThis paper empirically investigates the Evans and Lyons' [2002. Understanding order flow. International Journal of Finance and Economics 11: 3-23] model of the foreign exchange market from a dealer's perspective. We provide evidence of the suggested information aggregation process using a rich database on a German bank's end-user order flow from 2002 to 2003. Although customer order flow is unambiguously the vehicle incorporating non-public information into exchange rates over time, our empirical analysis does not support the idea that customer order flow is a high-powered source of information easily exploitable for short-run speculation.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal The European Journal of Finance.
Volume (Year): 17 (2011)
Issue (Month): 2 ()
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Web page: http://www.tandfonline.com/REJF20
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- Reitz, Stefan & Schmidt, Markus & Taylor, Mark P., 2009.
"Financial Intermediation and the Role of Price Discrimination in a Two-Tier Market,"
15602, University Library of Munich, Germany.
- Stefan Reitz & Markus A. Schmidt & Mark P. Taylor, 2012. "Financial Intermediation and the Role of Price Discrimination in a Two-Tier Market," Kiel Working Papers 1794, Kiel Institute for the World Economy.
- Reitz, Stefan & Schmidt, Markus A. & Taylor, Mark P., 2009. "Financial intermediation and the role of price discrimination in a two-tier market," Discussion Paper Series 1: Economic Studies 2009,13, Deutsche Bundesbank, Research Centre.
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