Reitz, Stefan, Schmidt, Markus A. and Taylor, Mark P.. (2011) End-user order flow and exchange rate dynamics – a dealer's perspective. European Journal of Finance, Vol.17 (No.2). pp. 153-168. ISSN 1351-847X

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Abstract

This 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.

Item Type:	Journal Article
Subjects:	H Social Sciences > HB Economic Theory H Social Sciences > HG Finance
Divisions:	Faculty of Social Sciences > Economics Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School
Journal or Publication Title:	European Journal of Finance
Publisher:	Routledge Journals, Taylor & Francis Ltd.
ISSN:	1351-847X
Official Date:	2011
Dates:	Date Event 2011 Published
Volume:	Vol.17
Number:	No.2
Number of Pages:	16
Page Range:	pp. 153-168
Identification Number:	10.1080/13518471003651925
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access
URI:	http://wrap.warwick.ac.uk/id/eprint/41851

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