Authors
Jun Cai, Yan-Leung Cheung, Raymond SK Lee, Michael Melvin
Publication date
2001/6/1
Journal
Journal of international money and finance
Volume
20
Issue
3
Pages
327-347
Publisher
Pergamon
Description
The dramatic yen/dollar volatility of 1998 has been popularly ascribed to order flow driven by changing tastes for risk and hedge-fund herding on unwinding yen ‘carry trade’ positions rather than fundamentals. High-frequency evidence of shifting fundamentals is provided by a comprehensive list of macroeconomic announcements. News is found to have significant effects on volatility, but order flow may play a more important role. Since portfolio shifts are revealed to the market through trading, the results are consistent with order flow playing a significant role in the revelation of private information and associated exchange rate shifts.
Total citations
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Scholar articles
J Cai, YL Cheung, RSK Lee, M Melvin - Journal of international money and finance, 2001