000			02072nam a2200217 4500
999			_c51004 _d51004
003			OSt
005			20190128131332.0
008			190128b ||||| |||| 00| 0 eng d
100			_aAnifowose, Abolaji Daniel _933026
245			_aCurrency Order Flow and Exchange Rate Determination: Empirical Evidence from the Malaysian Foreign Exchange Market
300			_a902–920 p.
520			_aThis article presents empirical test results of Malaysian foreign exchange market microstructure assessment of exchange rate dynamics. We apply vector autoregressive (VAR) model to estimate the influential role of currency order flow in the determination of the currency exchange rate for the Malaysian ringgit (MYR) against the US dollar (USD). We investigate whether currency order flow captures the movements of exchange rate of MYR against USD, and how the long-term and short-term components impact the relative estimation of MYR in the international market. We, construct a measure of order flow in the Malaysian foreign exchange market to reflect the pressure of currency excess demand. Our focus is on the cumulative currency order flow and the exchange rate relationship of MYR and USD. A hybrid model of order flow and exchange rate dynamics proposed by Evans and Lyons (2002a) is applied to the Malaysian foreign exchange market (MYR/USD) to analyse a dataset of every 15-minute currency order flow and exchange rate movements from January 2010 to December 2015. Our dataset has unique features in terms of the quality of the data, extensive period and precise high frequency. Our results show that currency order flow explains an important portion of the movements in the MYR–USD exchange rate.
653			_aExchange rate
653			_acurrency order flow
653			_a market microstructure
653			_aforeign exchange market
700			_aIsmail, Izlin _93042
700			_aSukor, Mohd Edil Abd _933027
773	0		_029349 _972597 _aBANIK, ARINDAM _dNEW DELHI SAGE PUBLISHING PVT. LTD. _o5559312 _tGLOBAL BUSINESS REVIEW _x0972-1509
942			_2ddc _cJA-ARTICLE