دانلود رایگان مقاله اطلاعات دهندگی اندازه تجارت در بازارهای ارز خارجی

abstract

This article investigates a trading strategy that relies on private information in an electronic spot foreign exchange market. In a structural microstructure model extended for high-frequency data, our analysis links the informational content of trading activity to order size. We find that large currency orders are likely to be placed by informed traders during increased price volatility episodes. In addition, the data suggest that excess kurtosis in exchange rate returns (corresponding to large price-contingent trades) is significantly lower than that in small trades.

5. Conclusions

This paper provides evidence that the transactions of informed FX traders are related to larger trade sizes. These findings are robust with regard to reasonable choices for cutoff points that define a ‘‘large’’ trade, although some trade sizes that are found to be informative can also be interpreted as medium-sized. Extending and complementing the extant literature, our analysis provides evidence on the link between informed trading and larger trade sizes (e.g., Easley et al., 1997a, Menkhoff and Schmeling, 2010, Chakravarty, 2001 and Anand and Chakravarty, 2007). The observed behavior can be described as a strong strategic component in the activity of informed traders that is not observed for uninformed traders (Gençay and Gradojevic, 2013). In contrast, uninformed traders submit smaller currency orders while acting in a ‘‘dispersed manner’’ that increases the likelihood of extreme events in the FX market