The information effect of order flows in foreign currency futures and spot markets
利用欧元兑美元和日元兑美元的日内数据，研究了订单流在价格发现和宏观经济新闻对汇率影响中的关键作用，发现期货市场在价格发现中占主导地位，且订单流对价格有持久影响。
Abstract Using intraday EUR–USD and JPY–USD data in both electronic futures and spot markets, we examine the important role played by order flow in price discovery and in intermediating the exchange‐rate reactions to macroeconomic news. We find that, after considering the order flows of futures and spot markets, the futures market dominates price discovery when compared with the spot market, confirming that order flows have a permanent impact on prices, even more so in futures markets. Furthermore, announcement surprises in gross domestic product, jobless claims, and nonfarm payroll affect both order flows and exchange‐rate changes.