Muhammad, Aftab and Anifowose, Abolaji Daniel and Evan, Lau and Izlin, Ismail (2020) What does currency order flow tell about spot exchange rates of Asian emerging markets? Borsa Istanbul Review. ISSN 2214-8450 (In Press)
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Abstract
This study investigates the role of currency order flow in explaining the emerging Asian markets' exchange rates relying on linear and nonlinear modeling. The daily currency order flow of the US dollar relative to the nine important Asian currencies is constituted and explored with the respective exchange rates. First, we find that order flow affects the spot exchange rate positively for the sampled Asian currencies which indicates that the buying pressure of the US dollar depreciates Asian currencies. Second, the effect of order flow is asymmetric which explains that a surge and a fall in order flow have different effects on the exchange rate. This study unlocks the contribution of the market microstructure research where the asymmetries improve the power to explicate exchange rates. The nonlinear model forecasting performance validates this stance.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Currency order flow, Exchange rate, Asymmetric relationship, Market microstructure, Emerging markets, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education, research, Universiti Malaysia Sarawak |
| Subjects: | H Social Sciences > HB Economic Theory |
| Divisions: | Academic Faculties, Institutes and Centres > Faculty of Economics and Business Faculties, Institutes, Centres > Faculty of Economics and Business |
| Depositing User: | Poh Hock |
| Date Deposited: | 15 Dec 2020 05:56 |
| Last Modified: | 19 Jun 2023 04:00 |
| URI: | http://ir.unimas.my/id/eprint/33378 |
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