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Intraday momentum in FX markets : disentangling informed trading from liquidity provision

Gert Elaut (UGent) , Kevin Lampaert (UGent) and Michael Frömmel (UGent)
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Project
FWO Grant No. G072113N
Abstract
We examine the likely drivers of intraday momentum, defined as a significantly positive relation between the first half-hour and the last half-hour return, in a foreign exchange market with explicit trading hours. Using transaction-level data from the Moscow Interbank Currency Exchange on the RUB-USD currency pair for the 2005-2014 period, our results suggest that intraday momentum in the ruble market is induced by risk aversion to overnight holdings among liquidity providers. In addition, our results complement earlier findings that suggest that market concentration due to trading hours matters for intraday momentum and that the effect is more pronounced during financial crises.
Keywords
Liquidity, Intraday, Informed trading, Momentum

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MLA
Elaut, Gert, Kevin Lampaert, and Michael Frömmel. “Intraday Momentum in FX Markets : Disentangling Informed Trading from Liquidity Provision.” Ed. Tarun Chordia. JOURNAL OF FINANCIAL MARKETS 37 (2018): 35–51. Print.
APA
Elaut, G., Lampaert, K., & Frömmel, M. (2018). Intraday momentum in FX markets : disentangling informed trading from liquidity provision. (T. Chordia, Ed.)JOURNAL OF FINANCIAL MARKETS, 37, 35–51.
Chicago author-date
Elaut, Gert, Kevin Lampaert, and Michael Frömmel. 2018. “Intraday Momentum in FX Markets : Disentangling Informed Trading from Liquidity Provision.” Ed. Tarun Chordia. Journal of Financial Markets 37: 35–51.
Chicago author-date (all authors)
Elaut, Gert, Kevin Lampaert, and Michael Frömmel. 2018. “Intraday Momentum in FX Markets : Disentangling Informed Trading from Liquidity Provision.” Ed. Tarun Chordia. Journal of Financial Markets 37: 35–51.
Vancouver
1.
Elaut G, Lampaert K, Frömmel M. Intraday momentum in FX markets : disentangling informed trading from liquidity provision. Chordia T, editor. JOURNAL OF FINANCIAL MARKETS. Elsevier; 2018;37:35–51.
IEEE
[1]
G. Elaut, K. Lampaert, and M. Frömmel, “Intraday momentum in FX markets : disentangling informed trading from liquidity provision,” JOURNAL OF FINANCIAL MARKETS, vol. 37, pp. 35–51, 2018.
@article{8060014,
  abstract     = {We examine the likely drivers of intraday momentum, defined as a significantly positive relation between the first half-hour and the last half-hour return, in a foreign exchange market with explicit trading hours. Using transaction-level data from the Moscow Interbank Currency Exchange on the RUB-USD currency pair for the 2005-2014 period, our results suggest that intraday momentum in the ruble market is induced by risk aversion to overnight holdings among liquidity providers. In addition, our results complement earlier findings that suggest that market concentration due to trading hours matters for intraday momentum and that the effect is more pronounced during financial crises.},
  author       = {Elaut, Gert and Lampaert, Kevin and Frömmel, Michael},
  editor       = {Chordia, Tarun},
  issn         = {1386-4181},
  journal      = {JOURNAL OF FINANCIAL MARKETS},
  keywords     = {Liquidity,Intraday,Informed trading,Momentum},
  language     = {eng},
  pages        = {35--51},
  publisher    = {Elsevier},
  title        = {Intraday momentum in FX markets : disentangling informed trading from liquidity provision},
  url          = {http://dx.doi.org/10.1016/j.finmar.2016.09.002},
  volume       = {37},
  year         = {2018},
}

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