Arbeitspapier
Asymmetric Information in the Interbank Foreign Exchange Market
This paper provides evidence of private information in the interdealer foreign exchange market. In so doing it provides support for the hypothesis that information is an important reason for the strong positive correlation between order flow and returns. It also provides evidence that information influences order-book structure. Our data comprise the complete record of interdealer trades at a good-sized Scandinavian bank during four weeks in 1998 and 1999, including bank identities. Our results indicate that larger banks have more information than smaller banks, that the relation between order flow and returns is stronger for larger banks than smaller banks, and that larger banks exploit their information advantage in limit-order placement.
- ISBN
-
978-82-7553-481-9
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2008/25
- Klassifikation
-
Wirtschaft
International Financial Markets
Foreign Exchange
International Monetary Arrangements and Institutions
- Thema
-
foreign exchange
microstructure
asymmetric information
liquidity premium
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bjønnes, Geir Høidal
Osler, Carol
Rime, Dagfinn
- Ereignis
-
Veröffentlichung
- (wer)
-
Norges Bank
- (wo)
-
Oslo
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bjønnes, Geir Høidal
- Osler, Carol
- Rime, Dagfinn
- Norges Bank
Entstanden
- 2008
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