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End-user order flow and exchange rate dynamics – a dealer's perspective
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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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Official URL: http://dx.doi.org/10.1080/13518471003651925
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 |
| Date: | 2011 |
| 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 |
Data sourced from Thomson Reuters' Web of Knowledge
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