Rosov, S;
Foster, FD;
(2014)
Measuring the information content of customer foreign exchange orders.
Australian Journal of Management
, 39
(2)
247 - 264.
10.1177/0312896213478435.
Preview |
PDF
Australian Journal of Management-2014-Rosov-247-64.pdf Available under License : See the attached licence file. Download (427kB) |
Abstract
This paper investigates whether customer order flow conveys information about future foreign exchange (FX) prices. We use a unique data set from a leading Australian commercial bank that records every FX trade made by the bank in the spot Australian dollar/US dollar market between 2005 and 2010. We find little evidence in support of a cointegrating relation or a statistically significant correlation between customer order flow and FX returns. However, consistent with the liquidity provision role of non-financial customers in Evans and Lyons ((2002) Order flow and exchange rate dynamics. Journal of Political Economy 110: 170–180), we find a statistically significant negative correlation between order flow from the diversified economic sector and FX returns. A dynamic analysis suggests that order flow has little or no price impact on FX returns. These results suggest that the non-financial customer order flow of a commercial bank does not carry information about FX prices.
Type: | Article |
---|---|
Title: | Measuring the information content of customer foreign exchange orders |
Open access status: | An open access version is available from UCL Discovery |
DOI: | 10.1177/0312896213478435 |
Publisher version: | http://dx.doi.org/10.1177/0312896213478435 |
Language: | English |
Additional information: | This article is distributed under the terms of the Creative Commons Attribution-NonCommercial 3.0 License (http://www.creativecommons.org/licenses/by-nc/3.0/) which permits non-commercial use, reproduction and distribution of the work without further permission provided the original work is attributed as specified on the SAGE and Open Access page (http://www.uk.sagepub.com/aboutus/openaccess.htm). |
UCL classification: | UCL |
URI: | https://discovery.ucl.ac.uk/id/eprint/1469515 |
Archive Staff Only
View Item |