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File | Description | Size | Format | |
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gupea_2077_67985_1.pdf | Thesis frame | 2874Kb | Adobe PDF | ![]() View/Open |
gupea_2077_67985_2.pdf | Spikblad eng | 633Kb | Adobe PDF | ![]() View/Open |
gupea_2077_67985_3.pdf | Spikblad sve | 629Kb | Adobe PDF | ![]() View/Open |
gupea_2077_67985_4.pdf | Main article | 6375Kb | Adobe PDF | ![]() View/Open |
Title: | Empirical tests of exchange rate and stock return models |
Authors: | Lindahl, Anna |
E-mail: | anna.lindahl@economics.gu.se |
Issue Date: | 31-Mar-2021 |
University: | Göteborgs universitet. Handelshögskolan |
Institution: | Department of Economics ; Institutionen för nationalekonomi med statistik |
Parts of work: | I Order flow in the Foreign Exchange Market II Herding the Scapegoats: Foreign Exchange Order Flow and the Time-Varying Effect of Fundamentals III Commercial banks' assets and future expected returns |
Date of Defence: | 2021-04-23 |
Disputation: | Fredagen den 23 april 2021, kl.10.15, B44 |
Degree: | Doctor of Philosophy |
Publication type: | Doctoral thesis |
Series/Report no.: | Ekonomiska studier 247 |
Keywords: | Foreign exchange order flow Microstructure Stock return predictability |
Abstract: | Abstracts to ”Empirical tests of exchange rate and stock return models” Order flow in the Foreign Exchange Market Price discovery in foreign exchange markets is explored using Swedish data including trades from both the customer and the interdealer market. The data set represents a majority of all executed trades in the EURSEK exchange rate over a four-year time period. I confirm the presence of an association between interdealer order flows and exchange rate returns on a daily and weekly freq... more |
ISBN: | 978-91-88199-53-9 (printed) 978-91-88199-54-6 (online) 1651-4297 (online) |
ISSN: | 1651-4289 (printed) |
URI: | http://hdl.handle.net/2077/67985 |
Appears in Collections: | Doctoral Theses from University of Gothenburg / Doktorsavhandlingar från Göteborgs universitet Doctoral Theses / Doktorsavhandlingar Institutionen för nationalekonomi med statistik |