Informativeness of trade size in foreign exchange markets

被引：4
|
作者：
Gradojevic, Nikola [1 ,2 ]
Erdemlioglu, Deniz [2 ]
Gencay, Ramazan [3 ]
机构：
[1] Univ Guelph, Dept Econ & Finance, Guelph, ON N1G 2W1, Canada
[2] IESEG Sch Management LEM CNRS, Lille, France
[3] Simon Fraser Univ, Dept Econ, Burnaby, BC, Canada
来源：
ECONOMICS LETTERS | 2017年 / 150卷
关键词：
Foreign exchange markets; Volume; Trade size; Volatility; Informed trading; Noise trading; Market microstructure; PRICE;
D O I：
10.1016/j.econlet.2016.11.010
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This article investigates a trading strategy that relies on private information in an electronic spot foreign exchange market. In a structural microstructure model extended for high-frequency data, our analysis links the informational content of trading activity to order size. We find that large currency orders are likely to be placed by informed traders during increased price volatility episodes. In addition, the data suggest that excess kurtosis in exchange rate returns (corresponding to large price-contingent trades) is significantly lower than that in small trades. (C) 2016 Elsevier B.V. All rights reserved.
引用
收藏
页码：27 / 33
页数：7
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