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dc.contributor.authorBjønnes, Geir Høidal
dc.contributor.authorRime, Dagfinn
dc.contributor.authorSolheim, Haakon
dc.date.accessioned2019-10-08T19:29:57Z
dc.date.available2019-10-08T19:29:57Z
dc.date.created2019-09-10T15:03:46Z
dc.date.issued2019
dc.identifier.citationBeta, 2019, 33 (2), 43-60.nb_NO
dc.identifier.issn0801-3322
dc.identifier.urihttp://hdl.handle.net/11250/2621036
dc.description.abstractWe examine the volume-volatility relation in the foreign exchange (FX) market using a unique data set from the Swedish krona (SEK) market that contains observations of 90–95 percent of all transactions from 1995 until 2002. We show that the strength of the volume-volatility relation depends on the group of market participants trading. Financial trading volume has the highest correlation with volatility. Interbank trading between the largest Market-making banks is also positively correlated with volatility, while trading among Other market-making banks show no correlation with volatility. Trading by Non-Financial customers is not correlated with volatility at all when controlling for trading by other market participants. Interestingly, we show that (unexpected) spot volume and changes in net positions (spot and forward) by Financial customers Granger cause spot volume and changes in net positions by Non-Financial customers. Our results clearly show that market participants in the FX market are heterogeneous, suggesting that differences in trading strategies and information may explain the volume-volatility relation.nb_NO
dc.language.isoengnb_NO
dc.titleThe impact of different players on the volume-volatility relation in the foreign exchange marketnb_NO
dc.typeJournal articlenb_NO
dc.typePeer reviewednb_NO
dc.description.versionacceptedVersionnb_NO
dc.source.pagenumber43-60nb_NO
dc.source.volume33nb_NO
dc.source.journalBetanb_NO
dc.source.issue2nb_NO
dc.identifier.doi10.18261/issn.1504-3134-2019-01-04
dc.identifier.cristin1723362
cristin.unitcode158,1,0,0
cristin.unitnameInstitutt for finans
cristin.ispublishedtrue
cristin.fulltextpostprint
cristin.qualitycode1


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