Order flow and exchange rate comovement
Author
Abstract
Suggested Citation
DOI: 10.1016/j.jimonfin.2017.07.022
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Martin D.D. Evans & Richard K. Lyons, 2017.
"Order Flow and Exchange Rate Dynamics,"
World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 6, pages 247-290,
World Scientific Publishing Co. Pte. Ltd..
- Martin D. D. Evans & Richard K. Lyons, 2002. "Order Flow and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 110(1), pages 170-180, February.
- Martin D.D. Evans & Richard K. Lyons, 1999. "Order Flow and Exchange Rate Dynamics," NBER Working Papers 7317, National Bureau of Economic Research, Inc.
- Martin D. D. Evans and Richard K. Lyons., 1999. "Order Flow and Exchange Rate Dynamics," Research Program in Finance Working Papers RPF-288, University of California at Berkeley.
- Evans, Martin D. & Lyons, Richard K., 1999. "Order Flow and Exchange Rate Dynamics," Research Program in Finance, Working Paper Series qt0dh1c16w, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley.
- Robert F. Engle & Kevin Sheppard, 2001.
"Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH,"
NBER Working Papers
8554, National Bureau of Economic Research, Inc.
- Engle, Robert F & Sheppard, Kevin K, 2001. "Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH," University of California at San Diego, Economics Working Paper Series qt5s2218dp, Department of Economics, UC San Diego.
- Madhavan, Ananth, 2000. "Market microstructure: A survey," Journal of Financial Markets, Elsevier, vol. 3(3), pages 205-258, August.
- Beine, Michel & Grauwe, Paul De & Grimaldi, Marianna, 2009.
"The impact of FX central bank intervention in a noise trading framework,"
Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1187-1195, July.
- Michel Beine & Paul De Grauwe & Marianna Grimaldi, 2005. "The Impact of FX Central Bank Intervention in a Noise Trading Framework," CESifo Working Paper Series 1520, CESifo.
- Michel Beine & Paul De Grauwe & Marianna Grimaldi, 2008. "The impact of FX Central Bank Intervention in a Noise Trading Framework," CREA Discussion Paper Series 08-15, Center for Research in Economic Analysis, University of Luxembourg.
- Dick van Dijk & Haris Munandar & Christian Hafner, 2011.
"The euro introduction and noneuro currencies,"
Applied Financial Economics, Taylor & Francis Journals, vol. 21(1-2), pages 95-116.
- Dick van Dijk & Haris Munandar & Christian M. Hafner, 2005. "The Euro Introduction and Non-Euro Currencies," Tinbergen Institute Discussion Papers 05-044/4, Tinbergen Institute, revised 08 Jun 2006.
- Van Dijk, Dick & Munandar, Haris & Hafner, Christian, 2011. "The Euro-introduction and non-Euro currencies," LIDAM Reprints ISBA 2011052, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Jón Daníelsson & Jinhui Luo & Richard Payne, 2012. "Exchange rate determination and inter-market order flow effects," The European Journal of Finance, Taylor & Francis Journals, vol. 18(9), pages 823-840, October.
- Bauwens, Luc & Ben Omrane, Walid & Giot, Pierre, 2005.
"News announcements, market activity and volatility in the euro/dollar foreign exchange market,"
Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1108-1125, November.
- BAUWENS, Luc & BEN OMRANE, Walid & GIOT, Pierre, 2003. "News announcements, market activity and volatility in the Euro/Dollar foreign exchange market," LIDAM Discussion Papers CORE 2003029, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BAUWENS, Luc & BEN OMRANE, Walid & GIOT, Pierre, 2005. "News announcements, market activity and volatility in the euro/dollar foreign exchange market," CORE Discussion Papers RP 1787, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Ian W. Marsh & Teng Miao, 2012. "High-frequency information content in end-user foreign exchange order flows," The European Journal of Finance, Taylor & Francis Journals, vol. 18(9), pages 865-884, October.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2003.
"Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange,"
American Economic Review, American Economic Association, vol. 93(1), pages 38-62, March.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," NBER Working Papers 8959, National Bureau of Economic Research, Inc.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?," Center for Financial Institutions Working Papers 02-23, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," Working Papers 02-16, Duke University, Department of Economics.
- Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," Working Papers 02-1, University of Pennsylvania, Wharton School, Weiss Center.
- Li, Xiao-Ming, 2011. "How do exchange rates co-move? A study on the currencies of five inflation-targeting countries," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 418-429, February.
- Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2015.
"Microstructure order flow: statistical and economic evaluation of nonlinear forecasts,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 40-52.
- Mario Cerrato & Hyunsok Kim & Ronald MacDonald, 2010. "Microstructure order flow: statistical and economic evaluation of nonlinear forecasts," Working Papers 2010_30, Business School - Economics, University of Glasgow.
- Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2010. "Microstructure Order Flow: Statistical and Economic Evaluation of Nonlinear Forecasts," SIRE Discussion Papers 2010-107, Scottish Institute for Research in Economics (SIRE).
- Berger, David W. & Chaboud, Alain P. & Chernenko, Sergey V. & Howorka, Edward & Wright, Jonathan H., 2008.
"Order flow and exchange rate dynamics in electronic brokerage system data,"
Journal of International Economics, Elsevier, vol. 75(1), pages 93-109, May.
- David W. Berger & Alain P. Chaboud & Sergey V. Chernenko & Edward Howorka & Jonathan H. Wright, 2006. "Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data," International Finance Discussion Papers 830, Board of Governors of the Federal Reserve System (U.S.), revised 2006.
- Dagfinn Rime & Hans Jørgen Tranvåg, 2012.
"Flows Of The Pacific: Asian Foreign Exchange Markets Through Tranquility And Turbulence,"
Pacific Economic Review, Wiley Blackwell, vol. 17(3), pages 434-466, August.
- Dagfinn Rime & Hans Jørgen Tranvåg, 2012. "The Flows of the Pacific: Asian foreign exchange markets through tranquility and turbulence," Working Paper 2012/01, Norges Bank.
- Hans Jørgen Tranvåg & Dagfinn Rime, 2012. "The Flows of the Pacific: Asian foreign exchange markets through tranquility and turbulence," Working Paper Series 12412, Department of Economics, Norwegian University of Science and Technology.
- Payne, Richard, 2003. "Informed trade in spot foreign exchange markets: an empirical investigation," Journal of International Economics, Elsevier, vol. 61(2), pages 307-329, December.
- Beine, Michel, 2004.
"Conditional covariances and direct central bank interventions in the foreign exchange markets,"
Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1385-1411, June.
- Michel Beine, 2004. "Conditional covariance and direct Central Bank intervention in the foreign exchange markets," ULB Institutional Repository 2013/10431, ULB -- Universite Libre de Bruxelles.
- Lyons, Richard K. & Moore, Michael J., 2009.
"An information approach to international currencies,"
Journal of International Economics, Elsevier, vol. 79(2), pages 211-221, November.
- Richard K. Lyons & Michael J. Moore, 2005. "An Information Approach to International Currencies," NBER Working Papers 11220, National Bureau of Economic Research, Inc.
- Lovcha, Yuliya & Perez-Laborda, Alejandro, 2013.
"Is exchange rate – Customer order flow relationship linear? Evidence from the Hungarian FX market,"
Journal of International Money and Finance, Elsevier, vol. 35(C), pages 20-35.
- Yuliya Lovcha & Alejandro Perez-Laborda, 2010. "Is exchange rate – customer order flow relationship linear? Evidence from the Hungarian FX market," MNB Working Papers 2010/10, Magyar Nemzeti Bank (Central Bank of Hungary).
- Jón Daníelsson & Richard Payne, 2012. "Liquidity determination in an order-driven market," The European Journal of Finance, Taylor & Francis Journals, vol. 18(9), pages 799-821, October.
- Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010.
"Exchange rate forecasting, order flow and macroeconomic information,"
Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
- Dagfinn Rime & Lucio Sarno & Elvira Sojli, 2007. "Exchange rate forecasting, order flow and macroeconomic information," Working Paper 2007/02, Norges Bank.
- Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2009. "Exchange Rate Forecasting, Order Flow and Macroeconomic Information," CEPR Discussion Papers 7225, C.E.P.R. Discussion Papers.
- Wu, Chih-Chiang & Chung, Huimin & Chang, Yu-Hsien, 2012. "The economic value of co-movement between oil price and exchange rate using copula-based GARCH models," Energy Economics, Elsevier, vol. 34(1), pages 270-282.
- Qianqiu Liu, 2009. "On portfolio optimization: How and when do we benefit from high-frequency data?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(4), pages 560-582.
- Hibbert, Ann Marie & Daigler, Robert T. & Dupoyet, Brice, 2008. "A behavioral explanation for the negative asymmetric return-volatility relation," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2254-2266, October.
- Martin D. D. Evans & Richard K. Lyons, 2017.
"How is Macro News Transmitted to Exchange Rates?,"
World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 14, pages 547-596,
World Scientific Publishing Co. Pte. Ltd..
- Evans, Martin D.D. & Lyons, Richard K., 2008. "How is macro news transmitted to exchange rates?," Journal of Financial Economics, Elsevier, vol. 88(1), pages 26-50, April.
- Martin D. D. Evans & Richard K. Lyons, 2003. "How is Macro News Transmitted to Exchange Rates?," NBER Working Papers 9433, National Bureau of Economic Research, Inc.
- Manzan, Sebastiano & Westerhoff, Frank, 2005.
"Representativeness of news and exchange rate dynamics,"
Journal of Economic Dynamics and Control, Elsevier, vol. 29(4), pages 677-689, April.
- Manzan, S. & Westerhoff, F., 2002. "Representativeness of News and Exchange Rate Dynamics," CeNDEF Working Papers 02-13, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Lobato, Ignacio & Nankervis, John C & Savin, N E, 2001. "Testing for Autocorrelation Using a Modified Box-Pierce Q Test," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(1), pages 187-205, February.
- Sigridur Benediktsdottir & Chiara Scotti, 2009. "Exchange rates dependence: what drives it?," International Finance Discussion Papers 969, Board of Governors of the Federal Reserve System (U.S.), revised 2009.
- Andrew J. Patton, 2006. "Modelling Asymmetric Exchange Rate Dependence," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 47(2), pages 527-556, May.
More about this item
Keywords
Order flow; Exchange rate comovement; FX market;JEL classification:
- F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jimfin:v:77:y:2017:i:c:p:199-215. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Haili He). General contact details of provider: http://www.elsevier.com/locate/inca/30443 .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.