| Item Type |
Conference or Workshop Item
(Paper)
|
| Abstract |
This paper studies the information content of trades in the world's largest over-thecounter market, the foreign exchange (FX) market. The results are derived from a comprehensive order flow dataset distinguishing between different groups of market participants
and covering a broad cross-section of currency pairs. Our findings show that both the contemporary and permanent price impact are heterogeneous across agents, time, and currency pairs, supporting the asymmetric information theory. A trading strategy based on the permanent price impact capturing superior information generates high returns even after accounting for risk, transaction costs, and other common risk factors documented in the FX literature. |
| Authors |
Ranaldo, Angelo & Somogyi, Fabricius |
| Language |
English |
| Keywords |
Carry trade, Currency portfolios, Heterogeneity, Order flow, Price discovery |
| Subjects |
finance |
| HSG Classification |
contribution to scientific community |
| HSG Profile Area |
SOF - System-wide Risk in the Financial System |
| Date |
5 November 2018 |
| Event Title |
Annual Central Bank Conference on Microstructure of Financial Markets |
| Event Location |
Hong Kong Institute for Monetary Research (HKIMR) of the Hong Kong Monetary Authority |
| Event Dates |
5-6 November 2018 |
| Depositing User |
Christina Ihasz
|
| Date Deposited |
29 Nov 2018 10:29 |
| Last Modified |
27 Mar 2023 00:25 |
| URI: |
https://www.alexandria.unisg.ch/publications/255891 |
Heterogeneous Information Content of Global FX Trading
