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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Diskussionsbeitrag ; No. 331
- Classification
-
Wirtschaft
Asymmetric and Private Information; Mechanism Design
Foreign Exchange
- Subject
-
Local information hypothesis
price impact
limit orders
informed traders
- Event
-
Geistige Schöpfung
- (who)
-
Menkhoff, Lukas
Schmeling, Maik
- Event
-
Veröffentlichung
- (who)
-
Universität Hannover, Wirtschaftswissenschaftliche Fakultät
- (where)
-
Hannover
- (when)
-
2006
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Menkhoff, Lukas
- Schmeling, Maik
- Universität Hannover, Wirtschaftswissenschaftliche Fakultät
Time of origin
- 2006
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