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Order flow and the Polish zloty : an empirical investigation

Ims, Kjetil; Johansen, Henrik Thorsø
Master thesis
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1750570.pdf (3.557Mb)
Preliminary.pdf (302.3Kb)
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http://hdl.handle.net/11250/2485536
Utgivelsesdato
2017
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Samlinger
  • Master of Science [1116]
Sammendrag
This paper analyses price variations in the euro-zloty and dollar-zloty ex-

change rates. Drawing from market microstructure, we use order

ow|signed

buy and sell orders|to model price variations. Our work adds support to the

thesis that order

ow is important in understanding exchange rate

uctua-

tions. We look at two subsamples: pre and post May 2004, when Poland

joined the European Union. Poland kept its own currency, the zloty, which

experienced a structural shift in trading|from the dollar to the euro as main

trading currency. At the most, order

ow explains 29 percent of the variation

in the zloty price of the euro. Moreover, we nd that euro-zloty order

ow

is a better proxy for price-relevant information than the dollar-zloty order

ow. Coe cient analysis shows that our model provides more statistically

signi cant results in the post May 2004 sample for the euro-zloty equation.

Variations in order

ow explain variations in exchange rates, both over time

and across di erent currencies. Our ndings are important for understanding

currencies that experience similar structural shifts as the zloty experienced

when the euro became its main vehicle currency.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2017
Utgiver
BI Norwegian Business School

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