Arbeitspapier
Local Information in Foreign Exchange Markets
This study shows that order flow in a foreign exchange market only has permanent price impact 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 various market conditions, common news shocks and consideration of feedback trading.
- Sprache
-
Englisch
- Erschienen in
-
Series: Diskussionsbeitrag ; No. 331
- Klassifikation
-
Wirtschaft
Asymmetric and Private Information; Mechanism Design
Foreign Exchange
- Thema
-
Local information hypothesis
price impact
limit orders
informed traders
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Menkhoff, Lukas
Schmeling, Maik
- Ereignis
-
Veröffentlichung
- (wer)
-
Universität Hannover, Wirtschaftswissenschaftliche Fakultät
- (wo)
-
Hannover
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 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
- Menkhoff, Lukas
- Schmeling, Maik
- Universität Hannover, Wirtschaftswissenschaftliche Fakultät
Entstanden
- 2006
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