Foreign Exchange Order Flows and the Thai Exchange Rate Dynamics

Jakree Koosakul and Nasha Ananchotikul

No 104, PIER Discussion Papers from Puey Ungphakorn Institute for Economic Research

Abstract: Applying the microstructure approach to exchange rates, this paper aims to shed light on the price formation process in the Thai foreign exchange market using a unique supervisory dataset of daily foreign exchange transactions from all licensed dealers in Thailand. We examine the main drivers of different types of order flows and the effect of resident and non-resident customer order flows on the Thai exchange rate. The results suggest that non-resident order flows have an important influence on movements in the Thai baht, while resident order flows do not. Regarding investors' trading behavior, we find that non-resident order flows are driven by both fundamentals and movements of the Thai baht. Specifically, non-resident players appear to be ‘

Keywords: FX order flow; FX microstructure; Exchange rate; Thailand (search for similar items in EconPapers)
JEL-codes: F31 G15 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2019-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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