Informed and uninformed trading on the Australian dollar

Hogan, WP; Batten, JA

Informed and uninformed trading on the Australian dollar

Hogan, WP Batten, JA

Permalink

Publication Type:: Journal Article
Citation:: International Review of Financial Analysis, 2005, 14 (1), pp. 61 - 75
Issue Date:: 2005-01-01

Closed Access

	Filename	Description	Size
	2005002067.pdf		766.79 kB	Adobe PDF	View/Open

Copyright Clearance Process

Recently Added
In Progress
Closed Access

This item is closed access and not available.

Full metadata record

Field	Value	Language
dc.contributor.author	Hogan, WP	en_US
dc.contributor.author	Batten, JA	en_US
dc.date.issued	2005-01-01	en_US
dc.identifier.citation	International Review of Financial Analysis, 2005, 14 (1), pp. 61 - 75	en_US
dc.identifier.issn	1057-5219	en_US
dc.identifier.uri	http://hdl.handle.net/10453/5352
dc.description.abstract	Using a high-frequency data set of the spot Australian/US dollar, this study examines the distribution of quotes, spreads, and returns across the trading day. By identifying the direction of trade and the subsequent quote returns from contributing banks, the segmented nature of the market into market-makers and informed and uninformed traders is investigated. The results suggest that the economic gain possible from private information is maximised over 2 to 5 quotes and is rapidly eroded by 20 quotes (about 2 min later during busy trading times) as other new information enters the market. Also, the analysis is revealing of discontinuities in trading and the volatility of pricing across the trading day. © 2004 Elsevier Inc. All rights reserved.	en_US
dc.relation.ispartof	International Review of Financial Analysis	en_US
dc.relation.isbasedon	10.1016/j.irfa.2004.06.004	en_US
dc.subject.classification	Finance	en_US
dc.title	Informed and uninformed trading on the Australian dollar	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	14	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1501 Accounting, Auditing and Accountability	en_US
utslib.for	1801 Law	en_US
dc.location.activity	Fremantle, Australia
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.issue	1	en_US
pubs.publication-status	Published	en_US
pubs.volume	14	en_US

Abstract:

Using a high-frequency data set of the spot Australian/US dollar, this study examines the distribution of quotes, spreads, and returns across the trading day. By identifying the direction of trade and the subsequent quote returns from contributing banks, the segmented nature of the market into market-makers and informed and uninformed traders is investigated. The results suggest that the economic gain possible from private information is maximised over 2 to 5 quotes and is rapidly eroded by 20 quotes (about 2 min later during busy trading times) as other new information enters the market. Also, the analysis is revealing of discontinuities in trading and the volatility of pricing across the trading day. © 2004 Elsevier Inc. All rights reserved.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/5352