Stabsseminar med Geir Bjønnes

Institutt for foretaksøkonomi holder stabsseminar med Geir Bjønnes, HHS/Stockholm Institute for Financial Research, fredag 7. juni.

05.06.2002 - Per Arne Solend

Tema: Volume, Order Flow and the FX Market: Does it Matter Who You Are?
Tid og sted: Fredag 7. juni, kl. 12.15-13.30 i Aud. B

Abstract
We study the impact of order flow and volume using an unique data set of daily trading in the Swedish krona (SEK) market. The data set covers 95 per cent of worldwide SEK-trading, and is disaggregated on 13 reporting banks' buying and selling with seven different counterparties in five different instruments. The preliminary
sample covers the first six months of 1998, while the whole data set, which we will receive during the spring 2002, begins in 1993. A unique feature in our data is the ability to differentiate between
counterparties. We focus on three relationships: Between (i) volume and volatility, (ii) order flow and exchange rate changes and (iii) the dynamics of liquidity to the market. We find that while we can restate previously reported findings from the literature, the findings depend on the identity of the counterparty. We find that the volume
of the presumably least informed counterpart contributes positively to volatility, indicating a noise-trader role for this group. Furthermore, customers' order flow contribute significantly to exchange rate changes, supporting the importance of these flows previously stated in the literature. Finally, we find that customer order flow is a function of past returns in the equity markets, changes in the interest rate differential and exchange rate movements. Again this process will differ between different groups of counterparties, indicating the importance of heterogeneity.

Paper er tilgjengelig på instituttets hjemmeside,
http://www.nhh.no/for/seminars/2002-spring/070602.pdf.