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One minute in the life of the DM/US$: Public news in an electronic market

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  • Carlson, John A.
  • Lo, Melody

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  • Carlson, John A. & Lo, Melody, 2006. "One minute in the life of the DM/US$: Public news in an electronic market," Journal of International Money and Finance, Elsevier, vol. 25(7), pages 1090-1102, November.
  • Handle: RePEc:eee:jimfin:v:25:y:2006:i:7:p:1090-1102
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    References listed on IDEAS

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    1. Hasbrouck, Joel, 1991. " Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, vol. 46(1), pages 179-207, March.
    2. Berry, Thomas D & Howe, Keith M, 1994. " Public Information Arrival," Journal of Finance, American Finance Association, vol. 49(4), pages 1331-1346, September.
    3. Isard,Peter, 1995. "Exchange Rate Economics," Cambridge Books, Cambridge University Press, number 9780521466004, April.
    4. Martin D. D. Evans, 2017. "FX Trading and Exchange Rate Dynamics," World Scientific Book Chapters,in: Studies in Foreign Exchange Economics, chapter 5, pages 189-245 World Scientific Publishing Co. Pte. Ltd..
    5. Danielsson, J. & Payne, R., 2002. "Real trading patterns and prices in spot foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 203-222, April.
    6. Dominguez, Kathryn M. E., 2003. "The market microstructure of central bank intervention," Journal of International Economics, Elsevier, vol. 59(1), pages 25-45, January.
    7. Payne, Richard, 2003. "Informed trade in spot foreign exchange markets: an empirical investigation," Journal of International Economics, Elsevier, vol. 61(2), pages 307-329, December.
    8. Melvin, Michael & Yin, Xixi, 2000. "Public Information Arrival, Exchange Rate Volatility, and Quote Frequency," Economic Journal, Royal Economic Society, vol. 110(465), pages 644-661, July.
    9. Mitchell, Mark L & Mulherin, J Harold, 1994. " The Impact of Public Information on the Stock Market," Journal of Finance, American Finance Association, vol. 49(3), pages 923-950, July.
    10. Martin D. D. Evans & Richard K. Lyons, 2017. "How is Macro News Transmitted to Exchange Rates?," World Scientific Book Chapters,in: Studies in Foreign Exchange Economics, chapter 14, pages 547-596 World Scientific Publishing Co. Pte. Ltd..
    11. Hollifield, Burton & Miller, Robert A. & Sandås, Patrik & Slive, Joshua, 2002. "Liquidity Supply and Demand in Limit Order Markets," CEPR Discussion Papers 3676, C.E.P.R. Discussion Papers.
    12. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2003. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," American Economic Review, American Economic Association, vol. 93(1), pages 38-62, March.
    13. Handa, Puneet & Schwartz, Robert A, 1996. " Limit Order Trading," Journal of Finance, American Finance Association, vol. 51(5), pages 1835-1861, December.
    14. French, Kenneth R. & Roll, Richard, 1986. "Stock return variances : The arrival of information and the reaction of traders," Journal of Financial Economics, Elsevier, vol. 17(1), pages 5-26, September.
    15. Foucault, Thierry, 1999. "Order flow composition and trading costs in a dynamic limit order market1," Journal of Financial Markets, Elsevier, vol. 2(2), pages 99-134, May.
    16. Charles Goodhart & Takatoshi Ito & Richard Payne, 1996. "One Day in June 1993: A Study of the Working of the Reuters 2000-2 Electronic Foreign Exchange Trading System," NBER Chapters,in: The Microstructure of Foreign Exchange Markets, pages 107-182 National Bureau of Economic Research, Inc.
    17. Isard,Peter, 1995. "Exchange Rate Economics," Cambridge Books, Cambridge University Press, number 9780521460477, April.
    18. Michael J. Fleming & Eli M. Remolona, 1999. "Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information," Journal of Finance, American Finance Association, vol. 54(5), pages 1901-1915, October.
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    Cited by:

    1. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010. "Exchange rate forecasting, order flow and macroeconomic information," Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
    2. Kitamura, Yoshihiro, 2017. "Simple measures of market efficiency: A study in foreign exchange markets," Japan and the World Economy, Elsevier, vol. 41(C), pages 1-16.
    3. Savaser, Tanseli, 2011. "Exchange rate response to macronews: Through the lens of microstructure," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(1), pages 107-126, February.
    4. Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2013. "Econometric modeling of exchange rate volatility and jumps," Chapters,in: Handbook of Research Methods and Applications in Empirical Finance, chapter 16, pages 373-427 Edward Elgar Publishing.
    5. Müller, Christian, 2015. "Radical uncertainty: Sources, manifestations and implications," Economics Discussion Papers 2015-41, Kiel Institute for the World Economy (IfW).
    6. Neely, Christopher J., 2015. "Unconventional monetary policy had large international effects," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 101-111.
    7. Berger, David W. & Chaboud, Alain P. & Chernenko, Sergey V. & Howorka, Edward & Wright, Jonathan H., 2008. "Order flow and exchange rate dynamics in electronic brokerage system data," Journal of International Economics, Elsevier, vol. 75(1), pages 93-109, May.
    8. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    9. King, Michael R. & Osler, Carol L. & Rime, Dagfinn, 2013. "The market microstructure approach to foreign exchange: Looking back and looking forward," Journal of International Money and Finance, Elsevier, vol. 38(C), pages 95-119.
    10. Lo, Melody & Lee, Cheng-Few, 2006. "A reexamination of the market efficiency hypothesis: Evidence from an electronic intra-day, inter-dealer FX market," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(4), pages 565-585, September.
    11. Cotter, John & Dowd, Kevin, 2010. "Intra-day seasonality in foreign exchange market transactions," International Review of Economics & Finance, Elsevier, vol. 19(2), pages 287-294, April.
    12. Ingrid Lo & Stephen Sapp, 2011. "Belief Dispersion and Order Submission Strategies in the Foreign Exchange Market," Staff Working Papers 11-8, Bank of Canada.
    13. Lo, Ingrid & Sapp, Stephen G., 2010. "Order aggressiveness and quantity: How are they determined in a limit order market?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(3), pages 213-237, July.
    14. Evans, Kevin P. & Speight, Alan E.H., 2010. "Dynamic news effects in high frequency Euro exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(3), pages 238-258, July.
    15. Lo, Ingrid & Sapp, Stephen G., 2008. "The submission of limit orders or market orders: The role of timing and information in the Reuters D2000-2 system," Journal of International Money and Finance, Elsevier, vol. 27(7), pages 1056-1073, November.

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