Informational Integration and FX Trading
Martin Evans and Richard K. Lyons ()
Additional contact information
Martin Evans and Richard K. Lyons: Department of Economics, Georgetown University, http://www9.georgetown.edu/faculty/evansm1/
Authors registered in the RePEc Author Service: Martin Evans ()
Working Papers from Georgetown University, Department of Economics
This paper addresses international financial integration in a new way. We focus on informational integration, specifically, the importance of information conveyed by order flow in major currencies for pricing minor currencies. We develop a multi-currency model of portfolio allocation in the presence of dispersed information. We then test the model's implications using four months of concurrent transaction data on nine currencies. The model explains 45 to 78 percent of daily returns in all nine currencies. Moreover, its prediction that order flow in individual markets should be relevant for determining prices in other markets is borne out.
Keywords: Exchange Rates; Order flow; Financial Integration (search for similar items in EconPapers)
JEL-codes: F31 F36 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (42) Track citations by RSS feed
Downloads: (external link)
http://www8.georgetown.edu/departments/economics/pdf/211.pdf Full text (application/pdf)
Chapter: Informational Integration and FX Trading (2017)
Journal Article: Informational integration and FX trading (2002)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:geo:guwopa:gueconwpa~02-02-11
Ordering information: This working paper can be ordered from
Roger Lagunoff Professor of Economics Georgetown University Department of Economics Washington, DC 20057-1036
Access Statistics for this paper
More papers in Working Papers from Georgetown University, Department of Economics Georgetown University Department of Economics Washington, DC 20057-1036.
Bibliographic data for series maintained by Marcia Suss ().