CROSS-MARKET INFO
Cross-market linkages: How important is information?
| Coordinatore | ERASMUS UNIVERSITEIT ROTTERDAM
Organization address
address: BURGEMEESTER OUDLAAN 50 contact info |
| Nazionalità Coordinatore | Netherlands [NL] |
| Totale costo | 0 € |
| EC contributo | 151˙863 € |
| Programma | FP7-PEOPLE
Specific programme "People" implementing the Seventh Framework Programme of the European Community for research, technological development and demonstration activities (2007 to 2013) |
| Code Call | FP7-PEOPLE-IEF-2008 |
| Funding Scheme | MC-IEF |
| Anno di inizio | 2009 |
| Periodo (anno-mese-giorno) | 2009-09-01 - 2011-08-31 |
Partecipanti
| # | ||||
|---|---|---|---|---|
| 1 |
ERASMUS UNIVERSITEIT ROTTERDAM
Organization address
address: BURGEMEESTER OUDLAAN 50 contact info |
NL (ROTTERDAM) | coordinator | 151˙863.52 |
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Obiettivo del progetto (Objective)
'This work focuses on understanding international price discovery mechanisms and the nature of order imbalance (private information) relations between different asset classes. Returns between equity and bond markets are related in the same economy due to active portfolio management. Returns in the same asset class are affected by international price movements and exchange rate fluctuations, due to diversification. Concurrently, research in market microstructure literature posits that the price discovery process occurs via order imbalances for assets. Hence, the returns of international assets are linked across asset classes and countries and are also linked to order flows, that reflect private information. We propose a theoretical model that links order imbalances (private information) and returns in all the asset classes, hence merging the three different strands of the literature, and empirically investigate the relation between equities, bonds and exchange rate order flows.'