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Information flows in foreign exchange markets: dissecting customer currency trades
Authors
L Menkhoff
L Sarno
M Schmeling
A Schrimpf
Publication date
18 March 2016
Publisher
The Journal of Finance
Doi
Cite
Abstract
© 2016 the American Finance Association. We study the information in order flows in the world's largest over-the-counter market, the foreign exchange (FX) market. The analysis draws on a data set covering a broad cross-section of currencies and different customer segments of FX end-users. The results suggest that order flows are highly informative about future exchange rates and provide significant economic value. We also find that different customer groups can share risk with each other effectively through the intermediation of a large dealer, and differ markedly in their predictive ability, trading styles, and risk exposure
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City Research Online
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oai:openaccess.city.ac.uk:1378...
Last time updated on 02/08/2016
Crossref
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info:doi/10.1111%2Fjofi.12378
Last time updated on 08/11/2020
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Apollo (Cambridge)
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oai:www.repository.cam.ac.uk:1...
Last time updated on 03/01/2020