Asymmetric Information in the Interbank Foreign Exchange Market

29 Pages Posted: 6 Mar 2008

See all articles by Geir Hoidal Bjonnes

Geir Hoidal Bjonnes

The Norwegian School of Management BI

Carol L. Osler

Brandeis University - International Business School

Dagfinn Rime

BI Norwegian Business School

Multiple version iconThere are 2 versions of this paper

Date Written: March 4, 2008

Abstract

This paper provides evidence that large dealing banks have more information than small dealing banks. Our data comprise the complete record of interdealer trades, including identities and the direction of the aggressor, at a good-sized bank during one week in 1998. We stratify the banks into four size categories and examine trading patterns among the banks and how they are related to exchange-rate returns. The evidence supports two hypothesis current in FX microstructure: first, exchange rates respond to order flow because it carries information; second, customers bring information to the foreign exchange market.

Keywords: Foreign exchange, microstructure

JEL Classification: G15, F31, F33

Suggested Citation

Bjonnes, Geir Hoidal and Osler, Carol L. and Rime, Dagfinn, Asymmetric Information in the Interbank Foreign Exchange Market (March 4, 2008). Available at SSRN: https://ssrn.com/abstract=1102202 or http://dx.doi.org/10.2139/ssrn.1102202

Geir Hoidal Bjonnes

The Norwegian School of Management BI ( email )

Nydalsveien 37
Oslo, 0484
Norway
+47 46410502 (Phone)

HOME PAGE: http://www.bi.no/BI/AcademicProfile____37601.aspx?ansattid=/fgl96014

Carol L. Osler

Brandeis University - International Business School ( email )

Mailstop 32
Waltham, MA 02454-9110
United States
781-736-4826 (Phone)

Dagfinn Rime (Contact Author)

BI Norwegian Business School ( email )

Nydalsveien 37
Oslo, 0442
Norway
+47-46410507 (Phone)

HOME PAGE: http://home.bi.no/dagfinn.rime/

Register to save articles to
your library

Register

Paper statistics

Downloads
206
Abstract Views
1,241
rank
74,979
PlumX Metrics