Resource title

Local Information in Foreign Exchange Markets

Resource image

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Resource description

This study shows that order flow in a foreign exchange market only has permanent price impact if it comes from certain regions. These regions are – as predicted by the local information hypothesis – centers of political and financial decision making. It is revealing that orders from other regions only show a very short-lived but no permanent price impact. Local information is so important that it carries over from the usually considered market orders to aggressively-priced limit orders too. The finding is robust to various market conditions, common news shocks and consideration of feedback trading.

Resource author

Lukas Menkhoff, Maik Schmeling

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/22443

Resource license

Adapt according to the presented license agreement and reference the original author.