Objective This work focuses on understanding international price discovery mechanisms and the nature of order imbalance (private information) relations between different asset classes. Returns between equity and bond markets are related in the same economy due to active portfolio management. Returns in the same asset class are affected by international price movements and exchange rate fluctuations, due to diversification. Concurrently, research in market microstructure literature posits that the price discovery process occurs via order imbalances for assets. Hence, the returns of international assets are linked across asset classes and countries and are also linked to order flows, that reflect private information. We propose a theoretical model that links order imbalances (private information) and returns in all the asset classes, hence merging the three different strands of the literature, and empirically investigate the relation between equities, bonds and exchange rate order flows. Keywords Cross market Social sciences international active diversification market microstructure order flow Programme(s) FP7-PEOPLE - Specific programme "People" implementing the Seventh Framework Programme of the European Community for research, technological development and demonstration activities (2007 to 2013) Topic(s) FP7-PEOPLE-IEF-2008 - Marie Curie Action: "Intra-European Fellowships for Career Development" Call for proposal FP7-PEOPLE-IEF-2008 See other projects for this call Funding Scheme MC-IEF - Intra-European Fellowships (IEF) Coordinator ERASMUS UNIVERSITEIT ROTTERDAM EU contribution € 151 863,51 Address BURGEMEESTER OUDLAAN 50 3062 PA Rotterdam Netherlands See on map Region West-Nederland Zuid-Holland Groot-Rijnmond Activity type Higher or Secondary Education Establishments Administrative Contact Marno Verbeek (Prof.) Links Contact the organisation Opens in new window Website Opens in new window Total cost No data
