Information shares in a two-tier FX market

Louis R. Piccotti and Ben Schreiber

Journal of Empirical Finance, 2020, vol. 58, issue C, 19-35

Abstract: Using several measures of information share, we examine price discovery across the inter-dealer and dealer–customer market tiers in the currencies market. In the spot market, the information share of the inter-dealer tier is higher than that of the dealer–customer one for non-financial sector trades and is lower than the dealer–customer tier for foreign investors’ sell trades. In the forward market, the dealer–customer tier generally has the greater information share at the dealer’s buy side. Our results indicate the market where customers’ trades are the most informative and demonstrate how exogenous events affect price discovery across markets and market tiers.

Keywords: Information share; Price discovery; Foreign exchange market microstructure; Bid–Ask spreads (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:58:y:2020:i:c:p:19-35

DOI: 10.1016/j.jempfin.2020.05.001

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