scholarly journals An Empirical Study of Liquidity and Information Effects of Order Flow on Exchange Rates

2004 ◽  
Author(s):  
Francis Breedon ◽  
Paolo Vitale
Keyword(s):  
Empirical Study ◽  
Exchange Rates ◽  
Order Flow ◽  
Information Effects

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
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