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Empirical tests of exchange rate and stock return models


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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

 

 

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