Price Discovery on Foreign Exchange Markets with Differentially Informed Traders

F. de Jong, Ronald Mahieu, P. Schotman and . Leeuwen

Working Papers from Southern California - School of Business Administration

Abstract: This paper uses Reuters exchange rate data to investigate the contributions to the price discovery process by individual banks in the foreign exchange market. We propose multivariate time series models as well as models in tick time to study the dynamic relations between the quotes of individual banks. We investigate the hypothesis that German banks are price leaders in the deutschmark/dollar market.

Keywords: EXCHANGE RATE; ESTIMATOR; REGRESSION ANALYSIS (search for similar items in EconPapers)
JEL-codes: F31 C32 (search for similar items in EconPapers)
Date: 1999

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Persistent link: http://EconPapers.repec.org/RePEc:fth:socabu:99-56

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