Dealer behavior and trading systems in foreign exchange markets

• 成果类型: Article
• 署名作者: Bjonnes, GH; Rime, D
• 署名单位: Norges Bank; BI Norwegian Business School
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2004.08.001
• 发表日期: 2005
• 页码: 571-605
• 关键词: foreign exchange; TRADING; microstructure

摘要

We study dealer behavior in the foreign exchange spot market using detailed observations on all the transactions of four interbank dealers. There is strong support for an information effect in incoming trades. The direction of trade is most important, but we also find that the information effect increases with trade size in direct bilateral trades. All four dealers control their inventory intensively. Inventory control is not, however, manifested through a dealer's own prices in contrast to findings by Lyons (J. Financial Econ. 39(1995) 321). Furthermore, we document differences in trading styles, especially how they actually control their inventories. (c) 2004 Elsevier B.V. All rights reserved.