TESTS OF MICROSTRUCTURAL HYPOTHESES IN THE FOREIGN-EXCHANGE MARKET

• 成果类型: Article
• 署名作者: LYONS, RK
• 署名单位: National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(95)00832-Y
• 发表日期: 1995
• 页码: 321-351
• 关键词: foreign exchange; microstructure; inventory; INFORMATION

摘要

Data in this paper support both the inventory-control and asymmetric-information approaches to microstructure theory. Strong evidence of an inventory-control effect on price is new. The transactions dataset chronicles a trading week of a spot foreign exchange dealer whose daily volume averages over $1 billion. In addition to controlling inventory with his own price, the dealer also lays off inventory at other dealers' prices and through brokers. These results highlight the importance of inventory-control theory in understanding trading in this market.