Currency Order Flow and Exchange Rate Determination: Empirical Evidence from the Malaysian Foreign Exchange Market

Anifowose, Abolaji Daniel; Ismail, Izlin; Sukor, Mohd Edil Abd

doi:10.1177/0972150918772925

Cited by 9 publications

(9 citation statements)

References 45 publications

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“…Further, the role of order flow to convey private/incremental information unrelated to macroeconomic information is identified in Pak Rupee exchange rates determination. These findings align with Evans and Lyons (2002a, 2002b, 2005), Love and Payne (2008), Gradojevic and Neely (2009), Chinn and Moore (2011), Savaser (2011), McIntyre and Harjes (2016), Zhang et al (2016), and Anifowose et al (2018).…”

Section: Resultssupporting

confidence: 76%

“…The order flow brings portfolio-balance effects on exchange rates. Following Evans and Lyons (2002a), several studies such as Chinn and Moore (2011), Duffuor et al (2012), Breedon and Ranaldo (2013), Zhang et al (2016), McIntyre and Harjes (2016), and Anifowose et al (2018) estimate foreign exchange microstructure models and find that the order flow sufficiently explains movement in the exchange rates.…”

Section: Literature Reviewmentioning

confidence: 99%

“…,Love and Payne (2008),Gradojevic and Neely (2009),Chinn and Moore (2011),Savaser (2011),McIntyre and Harjes (2016),Zhang et al (2016), andAnifowose et al (2018).…”

mentioning

confidence: 99%

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Macroeconomic News and Exchange Rates: Exploring the Role of Order Flow

Jabeen

Rashid

2021

Global Journal of Emerging Market Economies

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This article studies the effects of macroeconomic news announcements and order flow on exchange rates in Pakistan by considering both direct and indirect information channels during news announcements periods. For this purpose, it employs GARCH models by using real-time data on macroeconomic news, order flow, and exchange rates. The findings reveal that macroeconomic news directly, and indirectly affect Pak Rupee exchange rates. The results also show that the order flow drives fluctuations in Pak Rupee exchange rates indicating the role of trade signals and trading strategies of currency traders in the exchange rate determination. Hence, as part of an aggregated economic component and means of public and private information, macroeconomic news and order flow impact Pak Rupee exchange rates as an integrated determinant. When macroeconomic news strikes the foreign exchange market, it affects the decisions of market makers, influencing order flow, and then exchange rates.

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Section: Resultssupporting

confidence: 76%

Section: Literature Reviewmentioning

confidence: 99%

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Macroeconomic News and Exchange Rates: Exploring the Role of Order Flow

Jabeen

Rashid

2021

Global Journal of Emerging Market Economies

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“…Therefore, researchers deduced from this study that the tourism industry can boost economic growth in Nigeria via the provision of employment opportunities to the Nigerian citizenry and also generate foreign exchange for Nigeria which can boost the foreign reserves of the country and enhance economic growth. Similarly, Anifowose, Izlin, and Sukor (2018) in their study examined the Malaysian foreign exchange market microstructure assessment of exchange rate dynamics using the vector autoregressive (VAR) model. They estimated the influential role of currency order flow in the determination of the currency exchange rate for the Malaysian ringgit (MYR) against the US$ and investigated whether currency order flow captures the movements of exchange rate of MYR against US$, and how the long-term and short-term components impact the relative estimation of MYR in the international market.…”

Section: Review Of Literaturementioning

confidence: 99%

Interaction Effect of Tourism and Foreign Exchange Earnings on Economic Growth in Nigeria

Matthew

Ede

Osabohien

et al. 2018

Global Business Review

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Deteriorating nature experienced in the level of economic activities in Nigeria is evident in most sectors of the economy, including the tourism sector. But there is a need to develop the tourism industry because of its potentials for job creation, and the Nigerian government should make vital efforts to diversify the economy from oil production to other viable sectors in order to create wealth for the nation. Against this backdrop, this study examined the interaction effect of tourism and foreign exchange earnings from the tourism industry on economic growth in Nigeria. The study engaged time series data sourced from the World Development Indicators for the period 1980–2016 and employed the fully modified ordinary least squares (FMOLS) and Johansen cointegration econometric technique of analysis. The empirical results from the FMOLS showed that revenue generated from tourism have a significant and positive effect on Nigeria’s economic growth; the interaction effect of tourism and foreign exchange earnings on economic growth in Nigeria is positive which implies that an increase in the tourism and foreign exchange earnings will lead to an increase in economic growth. Thus, based on these findings, the study recommended that as a matter of priority, the Nigerian government should encourage diversification through tourism promotion to achieve the desired level of economic growth and ensure that foreign exchange earnings from tourism transmits to the improvement of amusement parks and recreational centres which will significantly open new opportunities for tourism patronage and hence boost economic growth.

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“…Including those variables allowed the model to capture the impact of purchasing power parity, interest rate, current account balance, monetary policy, and gross domestic product on exchange rate movement. Moreover, these macroeconomic variables are deemed important determinants of the exchange rate from the viewpoint of fundamental analysis (Anifowose, Ismail, & Sukor, 2018;Quadry, Mohamad, & Yusof, 2017).…”

Section: Methodsmentioning

confidence: 99%

Do foreign exchange administration rules strengthen the currency value? Policy lessons from an emerging market

Lau

Yip²

2023

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After the announcement of the US presidential election result on 8 November 2016, many ASEAN currencies became volatile relative to the US Dollar (USD). Despite being an emerging market, Malaysia took an unprecedented step. It implemented new rules in December 2016 to halt the decline of the Malaysian Ringgit (MYR). Under the new rules, exporters must convert 75 per cent of export proceeds from foreign currency to local currency with a licensed financial institution. Using the sample period from September 2015 to July 2018, this study examined the impact of the Supplementary Notice on Foreign Exchange Administration (FEA) rules on MYR. Our study revealed, first, that despite the initial uneasiness of Multinational Companies (MNCs), the FEA rules effectively strengthened the MYR against the USD and other major currencies; second, the rule mitigated the depreciation of FDI and crude oil price on MYR; third, the results were robust in terms of model specification and estimation. The policy suggestion is made that the export conversion rule should be applied to foreign firms in Malaysia and domestic oil exporters, as it would mitigate the depreciation impact of the increase in FDI and crude oil price. Malaysia's experience provides policy lessons for emerging economies to emulate when facing unexpected exchange rate volatility.

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Currency Order Flow and Exchange Rate Determination: Empirical Evidence from the Malaysian Foreign Exchange Market

Cited by 9 publications

References 45 publications

Macroeconomic News and Exchange Rates: Exploring the Role of Order Flow

Macroeconomic News and Exchange Rates: Exploring the Role of Order Flow

Interaction Effect of Tourism and Foreign Exchange Earnings on Economic Growth in Nigeria

Do foreign exchange administration rules strengthen the currency value? Policy lessons from an emerging market

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