Information or Market Power: What is Governing Dealers' Pricing Behaviour in FX Markets?
An Investigation in the Spirit of the Microstructure Approach to Exchange Rates
(Sprache: Englisch)
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...
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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.
Inhaltsverzeichnis zu „Information or Market Power: What is Governing Dealers' Pricing Behaviour in FX Markets? “
Contents: Becoming acquainted with microstructure finance - Investigating dealers' pricing behaviour in FX markets - Strategic dealing hypothesis - Market power hypothesis - Information content of order flow - Market power and FX pricing behaviour.
Autoren-Porträt von Markus Alexander Schmidt
The Author: Markus A. Schmidt studied economics at the University of Giessen, (Diplom, MSc-equivalent 2005), and the University of Exeter (Great Britain). He received his doctorate from the University of Giessen in 2008. Concomitantly to his doctoral thesis, he worked as credit strategist with a financial institution. He is now working with Deutsche Bundesbank, Economics Department.
Bibliographische Angaben
- Autor: Markus Alexander Schmidt
- 2008, Neuausgabe, XII, 248 Seiten, Maße: 14,6 x 20,8 cm, Kartoniert (TB), Englisch
- Herausgegeben: Michael Frenkel
- Verlag: Peter Lang Ltd. International Academic Publishers
- ISBN-10: 3631579284
- ISBN-13: 9783631579282
- Erscheinungsdatum: 05.08.2008
Sprache:
Englisch
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