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A simultaneous trade model of the foreign exchange hot potato

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  • Lyons, Richard K.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of International Economics.

Volume (Year): 42 (1997)
Issue (Month): 3-4 (May)
Pages: 275-298

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Handle: RePEc:eee:inecon:v:42:y:1997:i:3-4:p:275-298

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Web page: http://www.elsevier.com/locate/inca/505552

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References

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  1. Peter C. Reiss & Ingrid M. Werner, 1994. "Transaction Costs in Dealer Markets: Evidence From The London Stock Exchange," NBER Working Papers 4727, National Bureau of Economic Research, Inc.
  2. Richard K. Lyons, 1996. "Foreign Exchange Volume: Sound and Fury Signifying Nothing?," NBER Chapters, in: The Microstructure of Foreign Exchange Markets, pages 183-208 National Bureau of Economic Research, Inc.
  3. Stein, Jeremy C, 1987. "Informational Externalities and Welfare-Reducing Speculation," Journal of Political Economy, University of Chicago Press, vol. 95(6), pages 1123-45, December.
  4. Richard K. Lyons., 1993. "Tests of Microstructural Hypotheses in the Foreign Exchange Market," Research Program in Finance Working Papers RPF-230, University of California at Berkeley.
  5. Laffont, Jean-Jacques & Maskin, Eric S, 1990. "The Efficient Market Hypothesis and Insider Trading on the Stock Market," Journal of Political Economy, University of Chicago Press, vol. 98(1), pages 70-93, February.
  6. Takatoshi Ito & Richard K. Lyons & Michael T. Melvin, 1996. "Is There Private Information in the FX Market? The Tokyo Experiment," Working Papers _005, University of California at Berkeley, Haas School of Business.
  7. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
  8. Ho, Thomas S Y & Stoll, Hans R, 1983. " The Dynamics of Dealer Markets under Competition," Journal of Finance, American Finance Association, vol. 38(4), pages 1053-74, September.
  9. Flood, Mark D., 1994. "Market structure and inefficiency in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 13(2), pages 131-158, April.
  10. Goodhart, Charles, 1988. "The Foreign Exchange Market: A Random Walk with a Dragging Anchor," Economica, London School of Economics and Political Science, vol. 55(220), pages 437-60, November.
  11. Lyons, Richard K., 1996. "Optimal Transparency in a Dealer Market with an Application to Foreign Exchange," Journal of Financial Intermediation, Elsevier, vol. 5(3), pages 225-254, July.
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