外汇市场的新闻和日内散户投资者订单流

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money Pub Date : 2025-03-19 DOI:10.1016/j.intfin.2025.102146

Theofilia Kaourma , Andreas Milidonis , George Nishiotis , Marios Panayides

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引用次数: 0

摘要

本文使用大量散户投资者（按分钟计算）欧元/美元多头和空头头寸的专有日内数据集来检验个人投资者的交易行为。标准事件研究分析显示，在宏观新闻公告发布之前，交易没有明显调整，而在事件发布后，交易与公告相反。面板回归分析显示，这种反向交易行为主要是由滞后收益驱动的，而非基本面宏观消息。此外，盘中时间序列分析显示，滞后的整体新闻情绪也显著影响散户投资者的交易。最后，为了验证散户交易的不知情性质，我们表明，利用散户投资者的订单流的简单交叉交易策略可以盈利。总体而言，我们的研究结果表明，外汇市场的散户投资者受到新闻情绪和过去回报的影响，但似乎无法从公开新闻中提取基本信息。我们的研究结果支持市场参与者解释公共信息的不同能力，这反映在零售货币交易者的日内交易活动中。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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News and intraday retail investor order flow in foreign exchange markets

This paper examines the trading behavior of individual investors using a proprietary intraday dataset of a large pool of retail investor aggregate (minute by minute) long and short positions in EUR/USD. Standard event study analysis shows no significant adjustment in trading ahead of scheduled macro news announcements and trading contrary to the announcement surprise after the event. A panel regression analysis shows that such contrarian trading behavior is mainly driven by lagged returns rather than fundamental macro news. Further, intraday time series analysis shows that the lagged overall news sentiment also significantly affects retail investor trading. Finally, to verify the uninformed nature of retail trading, we show that simple cross-over trading strategies that exploit retail investors’ order flow could be profitable. Overall, our results suggest that retail investors in currency markets are influenced by news sentiment and past returns, but do not appear able to extract fundamental information from public news. Our findings support the differential abilities of market participants to interpret public information as reflected through the intraday trading activity of retail currency traders.

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来源期刊

Journal of International Financial Markets Institutions & Money Multiple-

CiteScore

6.60

自引率

10.00%

发文量

142

期刊介绍： International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.