Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades

• 成果类型: Article
• 署名作者: Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; Schrimpf, Andreas
• 署名单位: Leibniz Association; DIW Berlin - Deutsches Institut fur Wirtschaftsforschung; Humboldt University of Berlin; City St Georges, University of London; Centre for Economic Policy Research - UK; Bank for International Settlements (BIS)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12378
• 发表日期: 2016
• 页码: 601-634
• 关键词: order flow; Price discovery; private information; rate dynamics; STOCK TRADES; Carry trade; FX market; Data set; returns; RISK

摘要

We study the information in order flows in the world's largest over-the-counter market, the foreign exchange (FX) market. The analysis draws on a data set covering a broad cross-section of currencies and different customer segments of FX end-users. The results suggest that order flows are highly informative about future exchange rates and provide significant economic value. We also find that different customer groups can share risk with each other effectively through the intermediation of a large dealer, and differ markedly in their predictive ability, trading styles, and risk exposure.