Macro news and large exchange-rate movements: Through the lens of market microstructure
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- Tez No: 400744
- Danışmanlar: DOÇ. DR. CAROL OSLER
- Tez Türü: Doktora
- Konular: Ekonomi, Economics
- Anahtar Kelimeler: Belirtilmemiş.
- Yıl: 2006
- Dil: İngilizce
- Üniversite: Brandeıs Unıversıty
- Enstitü: Yurtdışı Enstitü
- Ana Bilim Dalı: Belirtilmemiş.
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: Belirtilmemiş.
Özet
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Özet (Çeviri)
This thesis consists of three chapters which investigate institutional features of currency markets and their contribution to high-frequency exchange-rate movements by focusing on price-contingent orders (i.e. stop-loss and take-profit orders). First, I examine the sources of large, abrupt exchange-rate movements based on patterns in the placement and execution of these orders. The patterns suggest the following potential sources: (1) high kurtosis in the size distribution of individual orders; (2) the clustering of order executions at certain times of day and at certain exchange rates; (3) the tendency of stop-loss orders to propagate trends and the corresponding tendency of take-profit orders to interrupt trends. With calibrated Monte Carlo simulations, I evaluate the relative importance of these sources. I find that although the single most important source in return kurtosis is the distribution of order sizes, the way these sources interact with each other is far more important. The magnitude of kurtosis indicated by these simulations suggests that stoploss and take-profit orders may be an important source of abrupt exchange-rate moves despite their relatively small share of overall deal flow. In Chapter 2, I include macroeconomic news releases as another source of extreme currency movements. I show that price-contingent order placement intensifies three to five hours prior to news events and find that this surge in placement can enhance our ability to explain post-release exchange-rate returns by half. Moreover, the estimated effect of these orders is orthogonal to news surprises. Hence, I conclude that there may be a component of the news response that purely reflects institutional features such as order types and not necessarily the public information itself. Chapter 3 addresses whether there are any differences between the timing of order placement among investors and the types of price-contingent orders they use. Results reveal that while financial customers intensify their submission before scheduled announcement times, commercial customers? submission stays at its normal level around news releases. Also, financial customers typically place more stop-loss orders, which propagate exchange-rate trends and nonfinancial corporations place more take-profit orders, which generally reverse trends.
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