کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
964417 | 930525 | 2008 | 24 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Local information in foreign exchange markets
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This study shows that order flow in a foreign exchange market appears to have permanent price impact only if it comes from certain regions. These regions are – as predicted by the local information hypothesis – centers of political and financial decision making. It is revealing that orders from other regions only show a very short-lived but no permanent price impact. Local information is so important that it carries over from the usually considered market orders to aggressively priced limit orders too. The finding is robust to common news shocks, to the consideration of feedback trading and to further controls.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 27, Issue 8, December 2008, Pages 1383–1406
Journal: Journal of International Money and Finance - Volume 27, Issue 8, December 2008, Pages 1383–1406
نویسندگان
Lukas Menkhoff, Maik Schmeling,