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- W2407320470 abstract "Abstract Since the 1990s there has been a substantial increase in foreign exchange market trading by non-dealer financial firms. Non-dealer financial firms comprise a market segment that includes hedge funds and mutual funds, among others. We investigate whether the growth of non-dealer financial firm trading affected the uncovered interest rate parity (UIP) anomaly, a phenomenon that seems to offer opportunities for excess returns. We find that the growth in trading volume by non-dealer financial firms is associated with some mitigation in the UIP anomaly. In contrast, growth in dealer-to-dealer and dealer-to-nonfinancial firm trading volume has no impact on the anomaly." @default.
- W2407320470 created "2016-06-24" @default.
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- W2407320470 date "2016-09-01" @default.
- W2407320470 modified "2023-09-24" @default.
- W2407320470 title "The uncovered interest rate parity anomaly and trading activity by non-dealer financial firms" @default.
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- W2407320470 doi "https://doi.org/10.1016/j.iref.2016.05.006" @default.
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