The Impact of Order Flow on the Foreign Exchange Market: A Copula Approach

被引：1
作者：
Kitamura Y. [1 ]
机构：
[1] Faculty of Economics, University of Toyama, Toyama 930-8555
来源：
Asia-Pacific Financial Markets | 2011年 / 18卷 / 1期
基金：
日本学术振兴会;
关键词：
Copula; Exchange rate; Order flow;
D O I：
10.1007/s10690-010-9118-0
中图分类号：
学科分类号：
摘要：
Using the copula function, I propose a new econometric method to measure the state-dependent impact of order flows on returns in foreign exchange markets and examine whether this impact is affected by the number of informed traders. My results indicate that the impact of the order flow decreases as trading becomes more informed. This finding suggests an especially important theoretical implication: that the effect of competition among informed traders tends to dominate that of the adverse selection problem faced by uninformed traders in the euro/dollar and yen/dollar markets. © 2010 Springer Science+Business Media, LLC.
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页码：1 / 31
页数：30
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