Informativeness of trade size in foreign exchange markets

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• 作者：Nikola Gradojevic^a ; ^b ; ^{ngradoje@uoguelph.ca} ; Deniz Erdemlioglu^b ; ^{d.erdemlioglu@ieseg.fr} ; Ramazan Gen&ccedil ; ay^c ; ^{rgencay@sfu.ca}
• 关键词：F3 ; F31 ; G0 ; G1
• 刊名：Economics Letters
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：150
• 期：Complete
• 页码：27-33
• 全文大小：417 K
• 卷排序：150

文摘

We investigate the informativeness of trade size in an electronic spot foreign exchange market. Large currency orders are likely placed by informed traders. Large trades are associated with increased exchange rate volatility. Small orders increase the likelihood of extreme events. Large orders from informed traders tend to be more concentrated.