Information or Market Power: What is Governing Dealers’ Pricing Behaviour in FX Markets?
Produktnummer:
186f9e6a71afdb43a5a0371ac80f1f183d
| Autor: | Schmidt, Markus Alexander |
|---|---|
| Themengebiete: | Asymmetrische Information Devisenmarkt Exchange rate economic Forecasting High-frequency finance Market power Wechselkurs |
| Veröffentlichungsdatum: | 05.08.2008 |
| EAN: | 9783631579282 |
| Sprache: | Englisch |
| Produktart: | Kartoniert / Broschiert |
| Verlag: | Peter Lang GmbH, Internationaler Verlag der Wissenschaften |
| Untertitel: | An Investigation in the Spirit of the Microstructure Approach to Exchange Rates |
Produktinformationen "Information or Market Power: What is Governing Dealers’ Pricing Behaviour in FX Markets?"
The microstructure approach provides valuable insights into high-frequent exchange rate dynamics. Recent studies, including this book, evidence the prominence of information asymmetries for asset pricing as well as order flow’s important role during information aggregation processes via trading. However, results indicate that dealers quote prices in contrast to predictions of standard theory of asset pricing under asymmetric information. By analysing a unique data set of EUR/USD transactions at a German bank, this work investigates whether this pricing behaviour is due to dealers’ strategic dealing considerations or traders’ relative market power. The study concludes that it is market power rather than strategic dealing that determines dealers’ pricing strategy.
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