Informativeness of Order Flow: The Role of Institutions vs. Individuals

Author(s):  
Woon K. Wong ◽  
Eric Girardin
Keyword(s):  
Author(s):  
serhat Yildiz ◽  
Bonnie F. Van Ness ◽  
Robert A. Van Ness
Keyword(s):  

2021 ◽  
pp. 097491012110401
Author(s):  
Munazza Jabeen ◽  
Abdul Rashid

This article studies the effects of macroeconomic news announcements and order flow on exchange rates in Pakistan by considering both direct and indirect information channels during news announcements periods. For this purpose, it employs GARCH models by using real-time data on macroeconomic news, order flow, and exchange rates. The findings reveal that macroeconomic news directly, and indirectly affect Pak Rupee exchange rates. The results also show that the order flow drives fluctuations in Pak Rupee exchange rates indicating the role of trade signals and trading strategies of currency traders in the exchange rate determination. Hence, as part of an aggregated economic component and means of public and private information, macroeconomic news and order flow impact Pak Rupee exchange rates as an integrated determinant. When macroeconomic news strikes the foreign exchange market, it affects the decisions of market makers, influencing order flow, and then exchange rates.


2016 ◽  
Vol 41 (4) ◽  
pp. 739-762 ◽  
Author(s):  
Bonnie F. Van Ness ◽  
Robert A. Van Ness ◽  
Serhat Yildiz
Keyword(s):  

2009 ◽  
Vol 5 (1) ◽  
pp. 16-49 ◽  
Author(s):  
Michael Aitken ◽  
Frederick H. deB. ◽  
Thomas H. McInish ◽  
Kathryn Wong
Keyword(s):  

2006 ◽  
Vol 79 (1) ◽  
pp. 219-258 ◽  
Author(s):  
Bill B. Francis ◽  
Iftekhar Hasan ◽  
Delroy M. Hunter

1996 ◽  
Vol 51 (3) ◽  
pp. 811-833 ◽  
Author(s):  
DAVID EASLEY ◽  
NICHOLAS M. KIEFER ◽  
MAUREEN O'HARA

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