Information or Market Power: What is Governing Dealers’ Pricing Behaviour in FX Markets? : An Investigation in the Spirit of the Microstructure Approach to Exchange Rates
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Book Details
Format
Paperback / Softback
ISBN-10
3631579284
ISBN-13
9783631579282
Edition
New
Publisher
Peter Lang AG
Imprint
Peter Lang AG
Country of Manufacture
DE
Country of Publication
GB
Publication Date
Aug 5th, 2008
Print length
248 Pages
Weight
350 grams
Dimensions
15.00 x 22.20 x 1.70 cms
Product Classification:
Politics & governmentEconomic theory & philosophyMonetary economicsBehavioural economicsBanking
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The microstructure approach provides valuable insights into high-frequent exchange rate dynamics. Recent studies, including this book, evidence the prominence of information asymmetries for asset pricing as well as order flow’s important role during information aggregation processes via trading. However, results indicate that dealers quote prices in contrast to predictions of standard theory of asset pricing under asymmetric information. By analysing a unique data set of EUR/USD transactions at a German bank, this work investigates whether this pricing behaviour is due to dealers’ strategic dealing considerations or traders’ relative market power. The study concludes that it is market power rather than strategic dealing that determines dealers’ pricing strategy.
The microstructure approach provides valuable insights into high-frequent exchange rate dynamics. Recent studies, including this book, evidence the prominence of information asymmetries for asset pricing as well as order flow’s important role during information aggregation processes via trading. However, results indicate that dealers quote prices in contrast to predictions of standard theory of asset pricing under asymmetric information. By analysing a unique data set of EUR/USD transactions at a German bank, this work investigates whether this pricing behaviour is due to dealers’ strategic dealing considerations or traders’ relative market power. The study concludes that it is market power rather than strategic dealing that determines dealers’ pricing strategy.
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