Informed trade in spot foreign exchange markets: an empirical investigation

• 成果类型: Article
• 署名作者: Payne, R
• 署名单位: University of London; London School Economics & Political Science; University of London; London School Economics & Political Science
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(03)00003-5
• 发表日期: 2003
• 页码: 307-329
• 关键词: Exchange rates; Market microstructure; asymmetric information

摘要

This paper presents new evidence on information asymmetries in inter-dealer FX markets. We employ a new USD/DEM data set covering the activities of multiple dealers over one trading week. We utilise and extend the VAR structure introduced in Hasbrouck [J. Finance 46(l) (1991) 179] to quantify the permanent effects of trades on quotes and show that asymmetric information accounts for around 60% of average bid-ask spreads. Further, 40% of all permanent price variation is shown to be due to transaction-related information. Finally, we uncover strong time-of-day effects in the information carried by trades that are related to the supply of liquidity to D2000-2; at times when liquidity supply is high, individual trades have small permanent effects on quotes but the proportion of permanent quote variation explained by overall trading activity is relatively high. In periods of low liquidity supply the converse is true-individual trades have large permanent price effects but aggregate trading activity contributes little to permanent quote evolution. (C) 2003 Elsevier B.V. All rights reserved.