Order choices under information asymmetry in foreign exchange markets

Yin Feng Gau, Zhen Xing Wu

研究成果: 雜誌貢獻期刊論文同行評審

1 引文 斯高帕斯(Scopus)

摘要

This article investigates the information content in orders submitted to the Electronic Broking Services (EBS) spot foreign exchange broking system. Using intradaily data pertaining to orders for the two most liquid currency pairs, EUR-USD and USD-JPY, the authors examine the price impact of orders by level of aggressiveness in the EBS; the results show that patient limit orders have the greatest impact on changes in exchange rates. The results of post-trade profitability in the EUR-USD market also suggest patient limit orders convey more information than the other two types of orders, implying that informed traders may prefer patient limit orders to aggressive limit orders to exploit information advantages in the EUR-USD market.

原文???core.languages.en_GB???
頁(從 - 到)106-118
頁數13
期刊Journal of International Financial Markets, Institutions and Money
30
發行號1
DOIs
出版狀態已出版 - 5月 2014

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