Foreign Exchange Volume
نویسندگان
چکیده
Abstract We investigate the information contained in foreign exchange (FX) volume using a novel data set from over-the-counter market. find helps predict next-day currency returns and is economically valuable for investors. Predictability implies stronger return reversal pairs with abnormally low driven by component of unrelated to volatility, liquidity, order flow. rationalize these findings via simple model, which FX reveal degree asymmetric markets. Testing this prediction shows that uniform across but varies instruments.
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ژورنال
عنوان ژورنال: Review of Financial Studies
سال: 2021
ISSN: ['0893-9454', '1465-7368']
DOI: https://doi.org/10.1093/rfs/hhab095