The Use of Flow Analysis in Foreign Exchange: Exploratory Evidence

40 Pages Posted: 31 Mar 2011

See all articles by Thomas Gehrig

Thomas Gehrig

University of Vienna

Lukas Menkhoff

Kiel Institute for the World Economy; German Institute for Economic Research (DIW Berlin); Humboldt-Universität zu Berlin

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Abstract

This paper provides questionnaire evidence on the role of flow analysis for professional traders and fund managers. This evidence suggests that besides fundamental information and technical analysis, the analysis of flows provides an independent third type of information for professionals. The proposition that flows can be used to learn about fundamentals is not consistent with the data. Instead, evidence indicates that flows more likely provide insight into semi-fundamental private information, suggesting support for the efficient market hypothesis only in a weak form.

JEL Classification: F 31

Suggested Citation

Gehrig, Thomas and Menkhoff, Lukas, The Use of Flow Analysis in Foreign Exchange: Exploratory Evidence. Available at SSRN: https://ssrn.com/abstract=304229 or http://dx.doi.org/10.2139/ssrn.304229

Thomas Gehrig

University of Vienna ( email )

Oskar-Morgenstern-Platz 1
Vienna, A-1090
Austria

Lukas Menkhoff (Contact Author)

Kiel Institute for the World Economy ( email )

P.O. Box 4309
Kiel, Schleswig-Hosltein D-24100
Germany

German Institute for Economic Research (DIW Berlin) ( email )

Mohrenstraße 58
Berlin, 10117
Germany

Humboldt-Universität zu Berlin ( email )

Humboldt Universität
Unter den Linden 6
Berlin, 10099
Germany

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