| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16128 |
| DP16128 Foreign Exchange Volume | |
| Giovanni Cespa; Antonio Gargano; Steven Riddiough; LUCIO SARNO | |
| 发表日期 | 2021-05-08 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We investigate the information contained in foreign exchange (FX) volume using a novel dataset from the over-the-counter market. We find that volume helps predict next day currency returns and is economically valuable for currency investors. Predictability implies a stronger currency return reversal for currency pairs with abnormally low volume today, and is driven by the component of FX volume unrelated to volatility, illiquidity, and order flow. We rationalize these findings via a simple model of exchange rate determination, in which volume helps reveal the degree of asymmetric information in currency markets. Testing this prediction shows that asymmetric information is uniform across currency pairs but varies across instruments. |
| 主题 | Financial Economics ; International Macroeconomics and Finance |
| 关键词 | Foreign exchange volume Currency returns Asymmetric information |
| URL | https://cepr.org/publications/dp16128 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/545102 |
| 推荐引用方式 GB/T 7714 | Giovanni Cespa,Antonio Gargano,Steven Riddiough,et al. DP16128 Foreign Exchange Volume. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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