Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/53906 
Kompletter Metadatensatz
Erscheint in der Sammlung:
DublinCore-FeldWertSprache
dc.contributor.authorLo, Ingriden
dc.contributor.authorSapp, Stephenen
dc.date.accessioned2011-03-07-
dc.date.accessioned2011-12-15T12:58:01Z-
dc.date.available2011-12-15T12:58:01Z-
dc.date.issued2011-
dc.identifier.pidoi:10.34989/swp-2011-8en
dc.identifier.urihttp://hdl.handle.net/10419/53906-
dc.description.abstractThis paper empirically examines how dispersions across investors beliefs influence traders order submission decisions in the foreign exchange market. Previous research has found that dispersion in traders beliefs regarding future macroeconomic announcements has a significant impact on both price dynamics and trading volume before the announcements in the foreign exchange and other financial markets. However, little is known about how this dispersion impacts traders choice in submitting different types of orders and thus to supply and demand liquidity either before or after such announcements. Since the types of orders submitted by traders at these times are the building blocks of the observed price and trading dynamics, it is important to understand how differences in investors' information sets before and after important macroeconomic announcements affect their order submission decisions. We find that (i) belief dispersion affects the size and aggressiveness of orders both before and after macroeconomic announcements, (ii) the magnitude of the impact of factors known to affect order choice depends on the level of belief dispersion, and (iii) the influence of information shocks (the revelation of unexpected information) on order choices depends on the level of belief dispersion.en
dc.language.isoengen
dc.publisher|aBank of Canada |cOttawaen
dc.relation.ispartofseries|aBank of Canada Working Paper |x2011-8en
dc.subject.jelD4en
dc.subject.jelG1en
dc.subject.ddc330en
dc.subject.keywordExchange ratesen
dc.subject.keywordMarket structure and pricingen
dc.subject.stwFinanzmarkten
dc.subject.stwDevisenhandelen
dc.subject.stwFinanzintermediären
dc.subject.stwUnvollkommene Informationen
dc.subject.stwMeinungen
dc.subject.stwAnkündigungseffekten
dc.subject.stwMarktstrukturen
dc.subject.stwTheorieen
dc.titleBelief dispersion and order submission strategies in the foreign exchange market-
dc.typeWorking Paperen
dc.identifier.ppn651690498en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:bca:bocawp:11-8en

Datei(en):
Datei
Größe
177.7 kB





Publikationen in EconStor sind urheberrechtlich geschützt.