کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
9726036 1477965 2005 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Informed and uninformed trading on the Australian dollar
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Informed and uninformed trading on the Australian dollar
چکیده انگلیسی
Using a high-frequency data set of the spot Australian/US dollar, this study examines the distribution of quotes, spreads, and returns across the trading day. By identifying the direction of trade and the subsequent quote returns from contributing banks, the segmented nature of the market into market-makers and informed and uninformed traders is investigated. The results suggest that the economic gain possible from private information is maximised over 2 to 5 quotes and is rapidly eroded by 20 quotes (about 2 min later during busy trading times) as other new information enters the market. Also, the analysis is revealing of discontinuities in trading and the volatility of pricing across the trading day.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 14, Issue 1, 2005, Pages 61-75
نویسندگان
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