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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. doi:10.1080/13518471003651925

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Official URL: http://dx.doi.org/10.1080/13518471003651925

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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:
DateEvent
2011Published
Volume: Vol.17
Number: No.2
Number of Pages: 16
Page Range: pp. 153-168
DOI: 10.1080/13518471003651925
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access

Data sourced from Thomson Reuters' Web of Knowledge

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