Order Flow and Exchange Rate Dynamics: An Application to Emerging Markets

Posted: 8 Mar 2010

See all articles by Ian W. Marsh

Ian W. Marsh

City University London - Sir John Cass Business School

Kate Phylaktis

City University London - Sir John Cass Business School

Date Written: March 7, 2010

Abstract

The examines short-run exchange rate dynamics in an emerging market based on the recent microstructure framework of foreign exchange markets where the main explanatory variable is the order flow. The study makes two main contributions to the literature. First, it modifies the model to take account of a unique feature of the majority of emerging markets, namely the existence of a black market for FOREX. Secondly, it uses a unique proprietary database covering almost the complete Ghanaian market, and for a long time span compared to previous studies, which use data for a single market-maker and for a short period of time. The study confirms.

Keywords: Order Flow, Foreign Exchange Markets, Exchange Rates, Forex Microstructure

JEL Classification: F31

Suggested Citation

Marsh, Ian William and Phylaktis, Kate, Order Flow and Exchange Rate Dynamics: An Application to Emerging Markets (March 7, 2010). Available at SSRN: https://ssrn.com/abstract=1566498

Ian William Marsh

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
+44 20 7040 5121 (Phone)
+44 20 7040 8881 (Fax)

HOME PAGE: http://www.cass.city.ac.uk/faculty/i.marsh

Kate Phylaktis (Contact Author)

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
+44 20 70408735 (Phone)
+44 20 70408881 (Fax)

HOME PAGE: http://www.cass.city.ac.uk/faculty/k.phylaktis/

Register to save articles to
your library

Register

Paper statistics

Abstract Views
457
PlumX Metrics