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1、SourcesofPrivateInformationinFXTradingAndrewCarpenterUBSWarburg–SydneyJianxinWang*SchoolofBankingandFinanceUniversityofNewSouthWalesSydney,AustraliaFirstdraft:January2003AbstractThispaperexaminestheinformationcontentoftradesbydifferentparticipantsviadifferenttradin
2、gchannelsinthespotforeignexchangemarket.UsingspotFXtransactionsofamajorAustralianbank,wefindthatcentralbankshavethegreatestpriceimpact,followedbynon-bankfinancialinstitutionssuchashedgefundsandmutualfunds.Tradesbynon-financialcorporationshavetheleastimpactondealerp
3、ricing.Intheinterbankmarket,dealerswithgreaterprivateinformationappeartochoosedirecttradingwhichhaslowerpost-tradetransparency,whileindirecttradingviabrokershaslittlepriceimpact.Furthermore,thepriceimpactfromeachgrouplargelycomesfromdealersorcustomersinthetopquarti
4、leoftradingvolume.OverallthestudypresentsaninformationhierarchyacrossdifferenttypesofplayersandthechoicesoftradingmechanismsintheFXmarket.VERYPRELIMINARY*Correspondingauthor:jx.wang@unsw.edu.au.2332SourcesofPrivateInformationinFXTradingI.INTRODUCTIONAfundamentaldif
5、ferencebetweentheforeignexchange(FX)marketandequitymarketsisthenatureandthesourcesofprivateinformation.Inequitymarkets,privateinformationisprimarilyonthefundamentalvalueofequities.Withcentralizedorderflowsanddisclosure,privateinformationonorderimbalanceisshortlived
6、.Thereisawell-recognizedinformationhierarchyfromcorporateinsiderstoinstitutionalinvestorstoindividuals.Suchaninformationhierarchyiscriticaltothestandardmodelsofpricediscoverywheremarketmakersdonothaveprivateinformationandtheylearnfromtradingagainstinsiders[e.g.Kyle
7、(1985)].Italsomotivatesthestudyofthebehaviorandmarketimpactofdifferentiallyinformedinvestorgroupssuchasinsidersandinstitutionalinvestors.IntheFXmarket,however,theexistenceofprivateinformationonmacrofundamentalvariablessuchasinterestratesisyettobeestablished.Itiswel
8、lknownthatmacrovariableshavelimitedexplanatorypowerforexchangeratemovements.FXtradingisdecentralizedandopaque,makingshort-termorderflowimbalancep
