Information shares in a two-tier FX market
Seminar
Speaker
Ben Z. Schrieber
Date
19/12/2016 - 12:30 - 11:10Add To Calendar
2016-12-19 11:10:00
2016-12-19 12:30:00
Information shares in a two-tier FX market
Using several popular measures of information share, we examine price discovery across the inter-dealer and dealer-customer market tiers in the foreign exchange market. We generally find that the information share of the inter-dealer tier is higher than that of the dealer-customer one for non-fi nancial sector trades and is lower than the dealer-customer tier for financial sector trades. In the forward market, we find that the dealer-customer tier generally has the greater information share. Our results indicate the market where customers' trades are the most informative and how exogenous events
can a ffect price discovery across markets and market tiers.
Economics Building (Number 504). Room 011
אוניברסיטת בר-אילן - Department of Economics
Economics.Dept@mail.biu.ac.il
Asia/Jerusalem
public
Place
Economics Building (Number 504). Room 011
Affiliation
Bank of Israel
Abstract
Using several popular measures of information share, we examine price discovery across the inter-dealer and dealer-customer market tiers in the foreign exchange market. We generally find that the information share of the inter-dealer tier is higher than that of the dealer-customer one for non-fi nancial sector trades and is lower than the dealer-customer tier for financial sector trades. In the forward market, we find that the dealer-customer tier generally has the greater information share. Our results indicate the market where customers' trades are the most informative and how exogenous events
can a ffect price discovery across markets and market tiers.
Attached file
Last Updated Date : 13/12/2016
