Informed Traders, Intervention, and Price Leadership: A Deeper View of the Microstructure of the Foreign Exchange Market

  • Author(s): BETTINA PEIERS
  • Published: Apr 18, 2012
  • Pages: 1589-1614
  • DOI: 10.1111/j.1540-6261.1997.tb01122.x

ABSTRACT

This article identifies price leadership patterns in foreign exchange trading, with a focus on central bank intervention as an informational trigger for leadership positioning. Granger causality tests applied to DM/US$ spot rate quotes reveal Deutsche Bank as a price leader up to 60 minutes prior to Bundesbank interventionary reports. By the minus 25‐minute mark, interbank quote adjustments become two‐way Granger‐causal. These results suggest that central bank activity is revealed in stages: first to the price leader, then to competitors, and lastly to the general public.

Jump to menu

Main Navigation

Search the Site / Journal

Search Keywords

Search Tips

Members' Login

Credentials

Members' Options

Site Footer

View Mobile Version