The Impact of Order Flow on the Foreign Exchange Market: A Copula Approach

Yoshihiro Kitamura*

*この研究の対応する著者

研究成果: Article査読

抄録

Using the copula function, I propose a new econometric method to measure the state-dependent impact of order flows on returns in foreign exchange markets and examine whether this impact is affected by the number of informed traders. My results indicate that the impact of the order flow decreases as trading becomes more informed. This finding suggests an especially important theoretical implication: that the effect of competition among informed traders tends to dominate that of the adverse selection problem faced by uninformed traders in the euro/dollar and yen/dollar markets.

本文言語English
ページ(範囲)1-31
ページ数31
ジャーナルAsia-Pacific Financial Markets
18
1
DOI
出版ステータスPublished - 2011 3
外部発表はい

ASJC Scopus subject areas

  • 財務

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