Skip navigation

Explaining exchange rate movements: An application of the market microstructure approach on the Pakistani foreign exchange market

Explaining exchange rate movements: An application of the market microstructure approach on the Pakistani foreign exchange market

Jalil, Abdul and Feridun, Mete (2010) Explaining exchange rate movements: An application of the market microstructure approach on the Pakistani foreign exchange market. The Journal of Developing Areas, 44 (1). pp. 255-265. ISSN 0022-037X (Print), 1548-2278 (Online) (doi:10.1353/jda.0.0083)

Full text not available from this repository.

Abstract

This present article aims at explaining the exchange rate movements in the Pakistani foreign exchange market using the market micro structure approach, which has not been applied to date due to the unavailability of high-frequency data on the order flow for Pakistan. The novelty of the present article is that it uses publicly unavailable micro data obtained from the State Bank of Pakistan and that it employs ARCH/GARCH regression methods in addition to the OLS technique suggested by the existing literature. Strong evidence emerged suggesting that order flow is a key variable that explains the movements in exchange rate over a short term in the case of Pakistan.

Item Type: Article
Uncontrolled Keywords: market microstructure, order flow, Pakistan
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HF Commerce
Faculty / Department / Research Group: Faculty of Business > Greenwich Political Economy Research Centre (GPERC)
Faculty of Business > Department of International Business & Economics
Faculty of Business
Related URLs:
Last Modified: 02 Nov 2016 13:52
Selected for GREAT 2016: None
Selected for GREAT 2017: None
Selected for GREAT 2018: None
URI: http://gala.gre.ac.uk/id/eprint/7926

Actions (login required)

View Item View Item