Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/22443 
Erscheinungsjahr: 
2006
Schriftenreihe/Nr.: 
Diskussionsbeitrag No. 331
Verlag: 
Universität Hannover, Wirtschaftswissenschaftliche Fakultät, Hannover
Zusammenfassung: 
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.
Schlagwörter: 
Local information hypothesis
price impact
limit orders
informed traders
JEL: 
D82
F31
Dokumentart: 
Working Paper

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