Market Conditions, Order Flow and Exchange Rates Determination

2002 ◽  
Author(s):  
Jinhui Luo
Keyword(s):  
Exchange Rates ◽  
Order Flow ◽  
Market Conditions

Order Flow Fragmentation and Flight-To-Transparency During Stressed Market Conditions: Evidence From COVID-19

2021 ◽  
pp. 102101
Author(s):  
Giulio Anselmi ◽  
Mahendrarajah Nimalendran ◽  
Giovanni Petrella
Keyword(s):  
Order Flow ◽  
Market Conditions

scholarly journals Macroeconomic News, Order Flows, and Exchange Rates

2008 ◽  
Vol 43 (2) ◽  
pp. 467-488 ◽  
Author(s):  
Ryan Love ◽  
Richard Payne
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Public Information ◽  
Relevant Information ◽  
Order Flow ◽  
Macroeconomic News ◽  
Market Participants ◽  
Macroeconomic Announcements ◽  
Information Assimilation ◽  
Micro Level

AbstractIn textbook models of exchange rate determination, the news contained in public information announcements is directly impounded into prices with there being no role for trading in this process of information assimilation. This paper directly tests this theoretical result using transaction level exchange rate return and trading data and a sample of scheduled macroeconomic announcements. The main result of the paper is that even information that is publicly and simultaneously released to all market participants is partially impounded into prices via the key micro level price determinant—order flow. We quantify the role that order flow plays and find that approximately one third of price-relevant information is incorporated via the trading process.

scholarly journals Timing Exchange Rates Using Order Flow: The Case of the Loonie

2010 ◽  
Author(s):  
Michael R. King ◽  
Lucio Sarno ◽  
Elvira Sojli
Keyword(s):  
Exchange Rates ◽  
Order Flow

scholarly journals Exchange rates and order flow in the long run

2006 ◽  
Vol 3 (4) ◽  
pp. 235-243 ◽  
Author(s):  
M. Martin Boyer ◽  
Simon van Norden
Keyword(s):  
Exchange Rates ◽  
Order Flow ◽  
Long Run

Macroeconomic News and Exchange Rates: Exploring the Role of Order Flow

2021 ◽  
pp. 097491012110401
Author(s):  
Munazza Jabeen ◽  
Abdul Rashid
Keyword(s):  
Exchange Rates ◽  
Private Information ◽  
Foreign Exchange Market ◽  
Order Flow ◽  
Time Data ◽  
Macroeconomic News ◽  
Public And Private ◽  
Market Makers ◽  
News Announcements

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.

scholarly journals What does currency order flow tell about spot exchange rates of Asian emerging markets?

2020 ◽  
Author(s):  
Muhammad Aftab ◽  
Abolaji Daniel Anifowose ◽  
Evan Lau ◽  
Izlin Ismail
Keyword(s):  
Emerging Markets ◽  
Exchange Rates ◽  
Order Flow ◽  
Asian Emerging Markets
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