Narrow search
Showing 1 - 10 of 6,992
Cover Image
Exchange rate determination and dynamics in China: A market microstructure analysis
Zhang, Zhichao; Chau, Frankie; Zhang, Wenting - In: International Review of Financial Analysis 29 (2013) C, pp. 303-316
This paper provides a market-microstructure analysis of exchange rate dynamics in the Chinese foreign exchange market …
Persistent link: https://www.econbiz.de/10010741747
Cover Image
Global liquidity risk in the foreign exchange market
Banti, Chiara; Phylaktis, Kate; Sarno, Lucio - In: Journal of International Money and Finance 31 (2012) 2, pp. 267-291
Using a broad data set of 20 US dollar exchange rates and order flow of institutional investors over 14 years, we construct a measure of global liquidity risk in the foreign exchange (FX) market. Our FX liquidity measure may be seen as the analog of the well-known Pastor–Stambaugh liquidity...
Persistent link: https://www.econbiz.de/10010577035
Cover Image
Is exchange rate – Customer order flow relationship linear? Evidence from the Hungarian FX market
Lovcha, Yuliya; Perez-Laborda, Alejandro - In: Journal of International Money and Finance 35 (2013) C, pp. 20-35
Over the last decade, the microstructure approach to exchange rates has become very popular. The underlying idea of …
Persistent link: https://www.econbiz.de/10010665908
Cover Image
Trading European Sovereign Bonds: The Microstructure of the MTS Trading Platforms
Cheung, Yiu Chung; de Jong, Frank; Rindi, Barbara - C.E.P.R. Discussion Papers - 2004
We study the microstructure of the MTS Global Market bond trading system. This system is the largest pan …
Persistent link: https://www.econbiz.de/10005791526
Cover Image
Exchange Rate Forecasting, Order Flow and Macroeconomic Information
Rime, Dagfinn; Sarno, Lucio; Sojli, Elvira - C.E.P.R. Discussion Papers - 2009
This paper adds to the research efforts that aim to bridge the divide between macro and micro approaches to exchange rate economics by examining the linkages between exchange rate movements, order flow and expectations of macroeconomic variables. The basic hypothesis tested is that if order flow...
Persistent link: https://www.econbiz.de/10004972168
Cover Image
Persistence, Performance and Prices in Foreign Exchange Markets
Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2006
Using detailed data on currency transactions of institutional investors, this paper shows that funds that experience high returns on their currency holdings also execute currency trades at more favourable prices. This observation is consistent with foreign exchange dealers bidding for...
Persistent link: https://www.econbiz.de/10005788969
Cover Image
Foreign exchange customers and dealers: Who’s driving whom?
Gradojevic, Nikola - In: Finance Research Letters 11 (2014) 3, pp. 213-218
This paper tests the theoretical assumption of the foreign exchange market microstructure that dealers and non …
Persistent link: https://www.econbiz.de/10010940021
Cover Image
The market microstructure approach to foreign exchange: Looking back and looking forward
King, Michael R.; Osler, Carol L.; Rime, Dagfinn - In: Journal of International Money and Finance 38 (2013) C, pp. 95-119
Research on foreign exchange market microstructure stresses the importance of order flow, heterogeneity among agents …, and private information as crucial determinants of short-run exchange rate dynamics. Microstructure researchers have …, the impact on market liquidity, and the changing process of price discovery. We also outline potential microstructure …
Persistent link: https://www.econbiz.de/10010719330
Cover Image
Asymmetric responses of ask and bid quotes to information in the foreign exchange market
Chen, Yu-Lun; Gau, Yin-Feng - In: Journal of Banking & Finance 38 (2014) C, pp. 194-204
We study the price discovery in a foreign exchange electronic limit order market on a daily basis, by examining the informativeness of ask and bid quotes in the process of price formation. Using the data of prices and trades in the Euro–Dollar spot market via Electronic Broking Services (EBS),...
Persistent link: https://www.econbiz.de/10010719837
Cover Image
The offshore renminbi exchange rate: Microstructure and links to the onshore market
Cheung, Yin-Wong; Rime, Dagfinn - In: Journal of International Money and Finance 49 (2014) PA, pp. 170-189
study the CNH exchange rate dynamics and its links with onshore exchange rates (CNY). Using a specialized microstructure …
Persistent link: https://www.econbiz.de/10011077097