Purpose

The purpose of the paper is to show that order flows determine exchange rate dynamics because they carry information about nonfundamental factors besides macroeconomic fundamentals.

Design/methodology/approach

To understand the role of nonfundamental factors in driving order flows, this study uses two approaches. Initially, Evans and Rime (2016) VAR framework is followed to study the incremental information transmitted by order flow compared to macroeconomic variables. Then, the study uses the settings in which Rime et al. (2010) conduct their empirical work, which gives the researcher more latitude in specifying the identity of the factors that drive order flows.

Findings

The findings evidence that order flows explain the dynamics of the TND/USD exchange rate. The results highlight that order flows convey information about technical strategies, the currency systematic factors and political risk. This study also documents the presence of a Ramadan effect in exchange rates and order flows.

Originality/value

This study makes four contributions to the literature. First, it complements the literature on the FX microstructure of emerging markets. The study investigates the information content carried by order flows, while the previous literature has focused solely on examining the explanatory power of order flows to explain exchange rates in emerging countries. The second contribution is that the study demonstrates formally that order flows determine exchange rates because they transmit information about nonfundamental factors. Third, this study is the first to examine whether order flows convey information about technical analysis. Four, the study relates order flow to nontraditional factors that are relevant to the Tunisian FX market.

中文翻译：

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外汇市场订单流的信息含量：非基本面因素的重要性

目的

本文的目的是表明订单流决定汇率动态，因为它们除了宏观经济基本面之外还携带有关非基本面因素的信息。

设计/方法/方法

为了理解非基本因素在推动订单流中的作用，本研究使用了两种方法。最初，遵循 Evans 和 Rime (2016) VAR 框架来研究订单流传输的增量信息与宏观经济变量相比。然后，该研究使用 Rime等人的设置。(2010) 进行他们的实证工作，这使研究人员在指定驱动订单流的因素的身份方面有更大的自由度。

发现

调查结果表明，订单流可以解释 TND/USD 汇率的动态变化。结果突出显示，订单流传达了有关技术策略、货币系统因素和政治风险的信息。这项研究还记录了斋月效应在汇率和订单流中的存在。

原创性/价值

本研究对文献有四点贡献。首先，它补充了有关新兴市场外汇微观结构的文献。该研究调查了订单流所携带的信息内容，而之前的文献仅关注订单流对解释新兴国家汇率的解释力。第二个贡献是该研究正式证明订单流决定汇率，因为它们传递有关非基本因素的信息。第三，本研究首次检验订单流是否传达有关技术分析的信息。第四，该研究将订单流与与突尼斯外汇市场相关的非传统因素联系起来。