Asymmetric information risk in FX markets

Ranaldo, Angelo; Somogyi, Fabricius

doi:10.1016/j.jfineco.2020.12.007

Cited by 56 publications

(20 citation statements)

References 99 publications

(108 reference statements)

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“…previously by Levich (2018, 2021), Ranaldo and Santucci de Magistris (2018), Cespa et al (2021), and Ranaldo and Somogyi (2021). These authors have comprehensively described both CLS volume and order flow data.…”

Section: Datamentioning

confidence: 94%

Dollar Dominance in FX Trading

Somogyi¹

2021

SSRN Journal

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Section: Datamentioning

confidence: 94%

Dollar Dominance in FX Trading

Somogyi¹

2021

SSRN Journal

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“…CLS data have been used in prior research, among others, by Fischer and Ranaldo (2011), Levich (2018, 2021), Ranaldo and Santucci de Magistris (2018), Cespa et al (2021), and Ranaldo and Somogyi (2021). The full sample period spans from November 2011 to September 2020 and includes data for 18 major currencies and 33 currency pairs.…”

Section: Data Sourcesmentioning

confidence: 99%

“…( 5) based on inter-bank and customer-bank volume rather than total trading volume. To be precise, we define total trading volume in each customer group as the sum of buy and sell volume in a given currency 15 See Cespa et al (2021) and Ranaldo and Somogyi (2021) for a detailed description of the CLS flow data set. The sample covers the period from 1 November 2011 to 30 September 2020.…”

Section: Granular Instrumental Variablesmentioning

confidence: 99%

“…Alternative sources of spot FX trading volume are proprietary data sets from specific dealer banks (e.g., Bjønnes and Rime, 2005;Menkhoff, Sarno, Schmeling, and Schrimpf, 2016). The relatively recent public access to CLS data has enabled researchers to study customer-dealer volume at a global scale Levich, 2018, 2021;Ranaldo and Santucci de Magistris, 2018;Cespa, Gargano, Riddiough, and Sarno, 2021;Ranaldo and Somogyi, 2021). We contribute to this strand of literature by investigating the impact of constrained financial intermediaries' liquidity provision on FX market efficiency and its components (i.e., price dislocations and arbitrage transaction costs).…”

Section: Introductionmentioning

confidence: 99%

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Constrained Dealers and Market Efficiency

et al. 2021

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“…In addition, transactions carried out in financial markets are subject to asym-metric information, where one party often does not know everything it needs to know about the other party in order to make the right decisions (Bebczuk 2003;Andersen 2015;Ripamonti 2020). In the markets, whole trading strategies are created to capture asymmetric information based on the constant influence of price (Ranaldo and Somogyi 2021). Therefore, assessments of the impact of financial crises on numerous social and economic aspects of poverty are recorded through dynamic links among these aspects (Mishkin 1992;Antoniades et al 2020).…”

Section: Introductionmentioning

confidence: 99%

Foreign Direct Investment (FDI), Investment in Construction and Poverty in Economic Crises (Denmark, Italy, Germany, Romania, China, India and Russia)

Sukhadolets¹,

Stupnikova

Fomenko

et al. 2021

Economies

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This study aims to examine the impact of foreign direct investment (FDI), investment in construction and poverty in various countries. The Russian Federation invests heavily in construction and it is located both in Europe and Asia. Russia is usually described as a European country (while 70% of its territory is in Northern Asia, 80% of the population resides in Europe). That is why in this document both developed and emerging countries are considered; the former are represented by the EU members of different economic levels and the latter by BRICS countries. We looked at economically different countries to determine the best differentiated data in order to answer the question: “Why does a high level of poverty persist in Russia if Russian officials have repeatedly reaffirmed their commitment to the implementation of the Sustainable Development Goals (SDGs) by investing heavily in construction and attracting FDI?”. For the estimation, we used an autoregressive distributed lag (ARDL), considering cointegration and heteroscedasticity, in which the current values of the series depend both on the past values of this series and on the current and past values of other time series. Having received statistical data, we were able to compare the economic development of countries with some economic growth theories. 4–5% FDI share of the GDP helps to contain the negative impact of financial crises. Investment in construction supports the economies of countries in the long term and maintains or reduces the poverty level by increasing the assets of the population. Empirical data also helped us to evaluate the economic growth patterns and poverty in these seven countries. China and the Russian Federation will find themselves at different “poles”. China uses several theories and models simultaneously for economic development and poverty reduction and the Russian Federation does not keep to an established theory or a model of economic growth.

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Asymmetric information risk in FX markets

Cited by 56 publications

References 99 publications

Dollar Dominance in FX Trading

Dollar Dominance in FX Trading

Constrained Dealers and Market Efficiency

Foreign Direct Investment (FDI), Investment in Construction and Poverty in Economic Crises (Denmark, Italy, Germany, Romania, China, India and Russia)

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