Abstract

https://ssrn.com/abstract=2694985
 


 



Intraday Momentum in FX Markets: Disentangling Informed Trading from Liquidity Provision


Gert Elaut


Ghent University

Michael Frömmel


Ghent University - Department of Financial Economics

Kevin Lampaert


Ghent University

November 24, 2015


Abstract:     
We examine intraday momentum in the RUB-USD exchange market and its relationship with informed trading and liquidity provision. Using tick-by-tick transaction level data from the Moscow Interbank Currency Exchange (MICEX) for the period 2005 to 2014, we establish the presence of intraday momentum, defined as a significantly positive relationship between the first half-hour return and the last-half hour return. We find that, for our specific dataset, intraday momentum does not appear to be the result of informed trading. Instead, our results suggest that intraday momentum is consistent with risk-aversion for overnight holdings among liquidity providers.

Number of Pages in PDF File: 34

Keywords: Informed Trading, Intraday, Liquidity Demand, Momentum

JEL Classification: G11, G14


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Date posted: November 25, 2015  

Suggested Citation

Elaut, Gert and Frömmel, Michael and Lampaert, Kevin, Intraday Momentum in FX Markets: Disentangling Informed Trading from Liquidity Provision (November 24, 2015). Available at SSRN: https://ssrn.com/abstract=2694985 or http://dx.doi.org/10.2139/ssrn.2694985

Contact Information

Gert Elaut (Contact Author)
Ghent University ( email )
Ghent, 9000
Belgium
Michael Frömmel
Ghent University - Department of Financial Economics ( email )
Sint-Pietersplein 5
Ghent, 9000
Belgium
Kevin Lampaert
Ghent University ( email )
Sint-Pietersplein 5
Gent, 9000
Belgium
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