Price Discovery on Foreign Exchange Markets with Differentially Informed Traders

Frank de Jong, Ronald Mahieu, P. Schotman and I. 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: C32 F31 (search for similar items in EconPapers)
Pages: 35 pages
Date: 1999
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Citations: View citations in EconPapers (5)

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

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