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Informed trade in spot foreign exchange markets: an empirical investigation

  • Payne, Richard

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File URL: http://www.sciencedirect.com/science/article/B6V6D-4840YDS-3/2/70432198eb94846052f576bcaedfba11
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Article provided by Elsevier in its journal Journal of International Economics.

Volume (Year): 61 (2003)
Issue (Month): 2 (December)
Pages: 307-329

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Handle: RePEc:eee:inecon:v:61:y:2003:i:2:p:307-329
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505552

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  1. Hamao, Yasushi & Hasbrouck, Joel, 1995. "Securities Trading in the Absence of Dealers: Trades and Quotes on the Tokyo Stock Exchange," Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 849-78.
  2. Hasbrouck, Joel, 1991. " Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, vol. 46(1), pages 179-207, March.
  3. Lyons, Richard K., 1995. "Tests of microstructural hypotheses in the foreign exchange market," Journal of Financial Economics, Elsevier, vol. 39(2-3), pages 321-351.
  4. Richard K. Lyons, 1995. "Foreign Exchange Volume: Sound and Fury Signifying Nothing?," NBER Working Papers 4984, National Bureau of Economic Research, Inc.
  5. Hasbrouck, Joel, 1991. "The Summary Informativeness of Stock Trades: An Econometric Analysis," Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 571-95.
  6. de Jong, F.C.J.M. & Nijman, T.E. & Röell, A.A., 1995. "A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International," Other publications TiSEM 909cfa6b-a4be-4b4b-b214-f, Tilburg University, School of Economics and Management.
  7. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
  8. Lawrence R. Glosten & Paul R. Milgrom, 1983. "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders," Discussion Papers 570, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  9. Peiers, Bettina, 1997. " Informed Traders, Intervention, and Price Leadership: A Deeper View of the Microstructure of the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 52(4), pages 1589-1614, September.
  10. Martin D. D. Evans, 2002. "FX Trading and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 57(6), pages 2405-2447, December.
  11. Foster, F Douglas & Viswanathan, S, 1990. "A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 593-624.
  12. Chakrabarti, Rajesh, 2000. "Just another day in the inter-bank foreign exchange market," Journal of Financial Economics, Elsevier, vol. 56(1), pages 29-64, April.
  13. William Perraudin & Paolo Vitale, 1996. "Interdealer Trade and Information Flows in a Decentralized Foreign Exchange Market," NBER Chapters, in: The Microstructure of Foreign Exchange Markets, pages 73-106 National Bureau of Economic Research, Inc.
  14. Foster, F Douglas & Viswanathan, S, 1993. " Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models," Journal of Finance, American Finance Association, vol. 48(1), pages 187-211, March.
  15. Naranjo, Andy & Nimalendran, M, 2000. "Government Intervention and Adverse Selection Costs in Foreign Exchange Markets," Review of Financial Studies, Society for Financial Studies, vol. 13(2), pages 453-77.
  16. de Jong, F.C.J.M. & Nijman, T.E. & Roell, A.A., 1993. "A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International," Discussion Paper 1993-29, Tilburg University, Center for Economic Research.
  17. Dufour, Alfonso & Engle, Robert F, 1999. "Time and the Price Impact of a Trade," University of California at San Diego, Economics Working Paper Series qt62c0h04j, Department of Economics, UC San Diego.
  18. Massa, Massimo & Simonov, Andrei, 2001. "Reputation and Interdealer Trading. A Microstructure Analysis of the Treasury Bond Market," SIFR Research Report Series 5, Institute for Financial Research.
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