Global price discovery in the Australian dollar market and its determinants

Su, F; Zhang, J

Global price discovery in the Australian dollar market and its determinants

Su, F Zhang, J

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Publication Type:: Journal Article
Citation:: Pacific Basin Finance Journal, 2018, 48 pp. 35 - 55
Issue Date:: 2018-04-01

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Field	Value	Language
dc.contributor.author	Su, F	en_US
dc.contributor.author	Zhang, J	en_US
dc.date.issued	2018-04-01	en_US
dc.identifier.citation	Pacific Basin Finance Journal, 2018, 48 pp. 35 - 55	en_US
dc.identifier.issn	0927-538X	en_US
dc.identifier.uri	http://hdl.handle.net/10453/130306
dc.description.abstract	© 2018 Elsevier B.V. With Australia's growing importance in the global economy, the Australian dollar (AUD) has started to play a significant role in the global Foreign Exchange (FX) market. Using intraday trading data over the period of January 1999 to December 2013, we examine the determinants of price discovery in the AUD markets at two different time horizons. We find that the short-run determinants of price discovery include macroeconomic news, order flows and market state variables (i.e., return, volatility, trading volume and bid/ask spread). After controlling for the cross-region information flow and dynamic self-dependence, we find that more favorable market states and more unexpected order flows on macroeconomic news announcement days make a significant contribution to price discovery in the AUD market. Furthermore, we found that a higher level of market integration and consolidation contributes to price discovery process in the long-run.	en_US
dc.relation.ispartof	Pacific Basin Finance Journal	en_US
dc.relation.isbasedon	10.1016/j.pacfin.2018.01.002	en_US
dc.subject.classification	Finance	en_US
dc.title	Global price discovery in the Australian dollar market and its determinants	en_US
dc.type	Journal Article
utslib.citation.volume	48	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1501 Accounting, Auditing and Accountability	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Students
utslib.copyright.status	closed_access
pubs.publication-status	Published	en_US
pubs.volume	48	en_US

Abstract:

© 2018 Elsevier B.V. With Australia's growing importance in the global economy, the Australian dollar (AUD) has started to play a significant role in the global Foreign Exchange (FX) market. Using intraday trading data over the period of January 1999 to December 2013, we examine the determinants of price discovery in the AUD markets at two different time horizons. We find that the short-run determinants of price discovery include macroeconomic news, order flows and market state variables (i.e., return, volatility, trading volume and bid/ask spread). After controlling for the cross-region information flow and dynamic self-dependence, we find that more favorable market states and more unexpected order flows on macroeconomic news announcement days make a significant contribution to price discovery in the AUD market. Furthermore, we found that a higher level of market integration and consolidation contributes to price discovery process in the long-run.

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http://hdl.handle.net/10453/130306