End-user order flow and exchange rate dynamics – a dealer's perspective
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 1351-847XFull text not available from this repository.
Official URL: http://dx.doi.org/10.1080/13518471003651925
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.|
|Number of Pages:||16|
|Page Range:||pp. 153-168|
|Access rights to Published version:||Restricted or Subscription Access|
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