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- W2112086851 abstract "This paper investigates whether customer order flow conveys information about future foreign exchange (FX) prices. We use a unique data set from a leading Australian commercial bank that records every FX trade made by the bank in the spot Australian dollar/US dollar market between 2005 and 2010. We find little evidence in support of a cointegrating relation or a statistically significant correlation between customer order flow and FX returns. However, consistent with the liquidity provision role of non-financial customers in Evans and Lyons ((2002) Order flow and exchange rate dynamics. Journal of Political Economy 110: 170–180), we find a statistically significant negative correlation between order flow from the diversified economic sector and FX returns. A dynamic analysis suggests that order flow has little or no price impact on FX returns. These results suggest that the non-financial customer order flow of a commercial bank does not carry information about FX prices." @default.
- W2112086851 created "2016-06-24" @default.
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- W2112086851 date "2013-05-09" @default.
- W2112086851 modified "2023-09-25" @default.
- W2112086851 title "Measuring the information content of customer foreign exchange orders" @default.
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- W2112086851 doi "https://doi.org/10.1177/0312896213478435" @default.
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