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Citations for "Is there private information in the FX market? the Tokyo experiment"

by Takatosh Ito & Richard K. Lyons & Michael T. Melvin

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  1. Massimo Massa & Andrei Simonov, 2009. "Experimentation in Financial Markets," Management Science, INFORMS, vol. 55(8), pages 1377-1390, August.
  2. Alex Boulatov & Dmitry Livdan, 2006. "Strategic Trading with Market Closures," 2006 Meeting Papers 44, Society for Economic Dynamics.
  3. Kathy Yuan & Emre Ozdenoren & Itay Goldstein, 2008. "Learning and Complementarities: Implications for Speculative Attacks," 2008 Meeting Papers 276, Society for Economic Dynamics.
  4. Martin D. D. Evans, 2002. "FX Trading and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 57(6), pages 2405-2447, December.
  5. repec:dau:papers:123456789/878 is not listed on IDEAS
  6. Ito, Takatoshi & Hashimoto, Yuko, 2006. "Intraday seasonality in activities of the foreign exchange markets: Evidence from the electronic broking system," Journal of the Japanese and International Economies, Elsevier, vol. 20(4), pages 637-664, December.
  7. Carol L. Osler & John A. Carlson, 1996. "Rational speculators and exchange rate volatility," Staff Reports 13, Federal Reserve Bank of New York.
  8. Yuko Hashimoto & Takatoshi Ito, 2009. "Effects of Japanese Macroeconomic Announcements on the Dollar/Yen Exchange Rate: High-Resolution Picture," NBER Working Papers 15020, National Bureau of Economic Research, Inc.
  9. 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.
  10. Ligon, James A. & Liu, Hao-Chen, 2013. "The relation of trade size and price contribution in a traditional foreign exchange brokered market," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1024-1045.
  11. Weiner, Robert J., 2000. "Sheep in Wolves' Clothing?," Cahiers de recherche 0001, GREEN.
  12. Cerrato, Mario & Sarantis, Nicholas & Saunders, Alex, 2011. "An investigation of customer order flow in the foreign exchange market," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1892-1906, August.
  13. H. Henry Cao & Martin D. Evans & Richard K. Lyons, 2006. "Inventory Information," The Journal of Business, University of Chicago Press, vol. 79(1), pages 325-364, January.
  14. Anand, Amber & Gatchev, Vladimir A. & Madureira, Leonardo & Pirinsky, Christo A. & Underwood, Shane, 2011. "Geographic proximity and price discovery: Evidence from NASDAQ," Journal of Financial Markets, Elsevier, vol. 14(2), pages 193-226, May.
  15. Yan He & Hai Lin & Chunchi Wu & Uric B. Dufrene, 2013. "The 2000 presidential election and the information cost of sensitive versus," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  16. Zhang, Zhichao & Chau, Frankie & Zhang, Wenting, 2013. "Exchange rate determination and dynamics in China: A market microstructure analysis," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 303-316.
  17. Torben G. Anderson & Tim Bollerslev & Ashish Das, 1998. "Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment," NBER Working Papers 6666, National Bureau of Economic Research, Inc.
  18. Reint Gropp & Arjan Kadareja, 2012. "Stale Information, Shocks, and Volatility," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(6), pages 1117-1149, 09.
  19. Bubák, Vít & Kocenda, Evzen & Zikes, Filip, 2011. "Volatility transmission in emerging European foreign exchange markets," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2829-2841, November.
  20. He, Yan & Lin, Hai & Wu, Chunchi & Dufrene, Uric B., 2009. "The 2000 presidential election and the information cost of sensitive versus non-sensitive S&P 500 stocks," Journal of Financial Markets, Elsevier, vol. 12(1), pages 54-86, February.
  21. Takatoshi Ito & Yuko Hashimoto, 2004. "Microstructure of the Yen/Dollar Foreign Exchange Market: Patterns of Intra-day Activity Revealed in the Electronic Broking System," NBER Working Papers 10856, National Bureau of Economic Research, Inc.
  22. 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.
  23. Lukas Menkhoff & Mark P. Taylor, 2007. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Journal of Economic Literature, American Economic Association, vol. 45(4), pages 936-972, December.
  24. He, Yan & Lin, Hai & Wang, Junbo & Wu, Chunchi, 2009. "Price discovery in the round-the-clock U.S. Treasury market," Journal of Financial Intermediation, Elsevier, vol. 18(3), pages 464-490, July.
  25. Andersen, Torben G & Bollerslev, Tim, 1997. " Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," Journal of Finance, American Finance Association, vol. 52(3), pages 975-1005, July.
  26. Wagner, Christian, 2012. "Risk-premia, carry-trade dynamics, and economic value of currency speculation," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1195-1219.
  27. Changyun Wang, 2002. "The effect of net positions by type of trader on volatility in foreign currency futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 22(5), pages 427-450, 05.
  28. Vicentiu Covrig & Michael Melvin, 2005. "Tokyo insiders and the informational efficiency of the yen|dollar exchange rate," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(2), pages 185-193.
  29. Galagedera, Don U.A. & Kitamura, Yoshihiro, 2012. "Effect of exchange rate return on volatility spill-over across trading regions," Japan and the World Economy, Elsevier, vol. 24(4), pages 254-265.
  30. Olivier Jeanne & Andrew K. Rose, 2002. "Noise Trading and Exchange Rate Regimes," The Quarterly Journal of Economics, Oxford University Press, vol. 117(2), pages 537-569.
  31. Chakravarty, Sugato & Li, Kai, 2003. "An examination of own account trading by dual traders in futures markets," Journal of Financial Economics, Elsevier, vol. 69(2), pages 375-397, August.
  32. Boyer, M. Martin & van Norden, Simon, 2006. "Exchange rates and order flow in the long run," Finance Research Letters, Elsevier, vol. 3(4), pages 235-243, December.
  33. Gehrig, Thomas & Menkhoff, Lukas, 2003. "Technical Analysis in Foreign Exchange - The Workhorse Gains Further Ground," Hannover Economic Papers (HEP) dp-278, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  34. Martin D. D. Evans(Georgetown University and NBER), 2005. "What are the Origins of Foreign Exchange Movements?," Working Papers gueconwpa~05-05-06, Georgetown University, Department of Economics.
  35. Mende, Alexander & Menkhoff, Lukas, 2006. "Profits and speculation in intra-day foreign exchange trading," Journal of Financial Markets, Elsevier, vol. 9(3), pages 223-245, August.
  36. Christian, Mueller-Kademann, 2009. "Puzzle solver," MPRA Paper 19852, University Library of Munich, Germany.
  37. Fong, Kingsley & Zurbruegg, Ralf, 2003. "How much do locals contribute to the price discovery process?," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 305-320, May.
  38. Chen, Jun & Tse, Yiuman & Williams, Michael, 2009. "Trading location and equity returns: Evidence from US trading of British cross-listed firms," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 729-741, December.
  39. Christopher J. Neely, 2005. "The case for foreign exchange intervention: the government as an active reserve manager," Working Papers 2004-031, Federal Reserve Bank of St. Louis.
  40. Frank de Jong & Ronald Mahieu & Peter Schotman & Irma van Leeuwen, 1999. "Price Discovery on Foreign Exchange Markets with Differentially Informed Traders," Tinbergen Institute Discussion Papers 99-032/2, Tinbergen Institute.
  41. Paiardini, Paola, 2015. "Informed trading in parallel bond markets," Journal of Financial Markets, Elsevier, vol. 26(C), pages 103-121.
  42. Malik, Ali Khalil, 2005. "European exchange rate volatility dynamics: an empirical investigation," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 187-215, January.
  43. Martin D. D. Evans & Richard K. Lyons, 2002. "Order Flow and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 110(1), pages 170-180, February.
  44. Karyn L. Williams, 2000. "Price Discovery in Multiple-Dealer Markets: The Case of the Interbank Foreign Exchange Market," Claremont Colleges Working Papers 2000-37, Claremont Colleges.
  45. Menkhoff, Lukas & Schmeling, Maik, 2010. "Whose trades convey information? Evidence from a cross-section of traders," Journal of Financial Markets, Elsevier, vol. 13(1), pages 101-128, February.
  46. Gibson, Rajna & Habib, Michel A. & Ziegler, Alexandre, 2014. "Reinsurance or securitization: The case of natural catastrophe risk," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 79-100.
  47. Takatoshi Ito & Yuko Hashimoto, 2006. "Intra-day Seasonality in Activities of the Foreign Exchange Markets: Evidence from the Electronic Broking System (Subsequently published in "Journal of the Japanese and International Economies&qu," CARF F-Series CARF-F-064, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  48. Wang, Jian-Xin, 2001. "Quote revision and information flow among foreign exchange dealers," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(2), pages 115-136, June.
  49. Chiang, Thomas C. & Yu, Hai-Chin & Wu, Ming-Chya, 2009. "Statistical properties, dynamic conditional correlation and scaling analysis: Evidence from Dow Jones and Nasdaq high-frequency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1555-1570.
  50. Do, Hung Xuan & Brooks, Robert & Treepongkaruna, Sirimon & Wu, Eliza, 2014. "How does trading volume affect financial return distributions?," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 190-206.
  51. Robert Weiner, 2006. "Do Birds of a Feather Flock Together? Speculator Herding in the World Oil Market," Discussion Papers dp-06-31, Resources For the Future.
  52. Massa, Massimo & Simonov, Andrei, 2003. "Reputation and interdealer trading: a microstructure analysis of the Treasury Bond market," Journal of Financial Markets, Elsevier, vol. 6(2), pages 99-141, April.
  53. Rafael Romeu, 2004. "A Puzzle of Microstructure Market Maker Models," IMF Working Papers 04/6, International Monetary Fund.
  54. Chris D'Souza, 2002. "How Do Canadian Banks That Deal in Foreign Exchange Hedge Their Exposure to Risk?," Staff Working Papers 02-34, Bank of Canada.
  55. Richard K. Lyons, 2001. "Foreign exchange: macro puzzles, micro tools," Pacific Basin Working Paper Series 2001-10, Federal Reserve Bank of San Francisco.
  56. Wai-Ming Fong & Giorgio Valente & Joseph K.W. Fung, 2008. "FX Arbitrage and Market Liquidity: Statistical Significance and Economic Value," Working Papers 082008, Hong Kong Institute for Monetary Research.
  57. Menkhoff, Lukas & Schmeling, Maik, 2008. "Local information in foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1383-1406, December.
  58. Torben G. Andersen & Tim Bollerslev, 1996. "DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies," NBER Working Papers 5783, National Bureau of Economic Research, Inc.
  59. Cheung, Yin-Wong & Wong, Clement Yuk-Pang, 2000. "A survey of market practitioners' views on exchange rate dynamics," Journal of International Economics, Elsevier, vol. 51(2), pages 401-419, August.
  60. Boudt, Kris & Croux, Christophe & Laurent, Sébastien, 2011. "Robust estimation of intraweek periodicity in volatility and jump detection," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 353-367, March.
  61. Edmonds, Radcliffe Jr. & Kutan, Ali M., 2002. "Is public information really irrelevant in explaining asset returns?," Economics Letters, Elsevier, vol. 76(2), pages 223-229, July.
  62. Fong, Kingsley & Martens, Martin, 2002. "Overnight futures trading: now even Australia and US have common trading hours," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(2), pages 167-182, April.
  63. Chakravarty, Sugato & Li, Kai, 2003. "An examination of own account trading by dual traders in futures markets," Journal of Financial Economics, Elsevier, vol. 69(2), pages 375-397, August.
  64. Yuko Hashimoto & Takatoshi Ito & Takaaki Ohnishi & Misako Takayasu & Hideki Takayasu & Tsutomu Watanabe, 2008. "Random Walk or A Run: Market Microstructure Analysis of the Foreign Exchange Rate Movements based on Conditional Probability," NBER Working Papers 14160, National Bureau of Economic Research, Inc.
  65. Müller, Christian, 2015. "Radical uncertainty: Sources, manifestations and implications," Economics Discussion Papers 2015-41, Kiel Institute for the World Economy (IfW).
  66. Menkhoff, Lukas & Schmeling, Maik, 2010. "Trader see, trader do: How do (small) FX traders react to large counterparties' trades?," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1283-1302, November.
  67. Baviera, Roberto & Vergni, Davide & Vulpiani, Angelo, 2000. "Markovian approximation in foreign exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 280(3), pages 566-581.
  68. Kaufmann, Daniel & Mehrez, Gil & Schmukler, Sergio L., 2005. "Predicting currency fluctuations and crises: Do resident firms have an informational advantage?," Journal of International Money and Finance, Elsevier, vol. 24(6), pages 1012-1029, October.
  69. de Jong, Frank & Mahieu, Ronald J & Schotman, Peter C, 1999. "Price Discovery on Foreign Exchange Markets," CEPR Discussion Papers 2296, C.E.P.R. Discussion Papers.
  70. Chelley-Steeley, Patricia L. & Tsorakidis, Nikos, 2013. "Bid-ask spread dynamics in foreign exchange markets," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 119-131.
  71. Gehrig, Thomas & Menkhoff, Lukas, 2004. "The use of flow analysis in foreign exchange: exploratory evidence," Journal of International Money and Finance, Elsevier, vol. 23(4), pages 573-594, June.
  72. Locke, Peter R. & Mann, Steven C., 2005. "Professional trader discipline and trade disposition," Journal of Financial Economics, Elsevier, vol. 76(2), pages 401-444, May.
  73. Covrig, Vicentiu & Melvin, Michael, 2002. "Asymmetric information and price discovery in the FX market: does Tokyo know more about the yen?," Journal of Empirical Finance, Elsevier, vol. 9(3), pages 271-285, August.
  74. Hogan, Warren P. & Batten, Jonathan A., 2005. "Informed and uninformed trading on the Australian dollar," International Review of Financial Analysis, Elsevier, vol. 14(1), pages 61-75.
  75. Chen, Chun-nan & Wu, Chunchi, 2009. "Small trades and volatility increases after stock splits," International Review of Economics & Finance, Elsevier, vol. 18(4), pages 592-610, October.
  76. Piet Eichholtz & Hans Op t Veld & Mark Schweitzer, "undated". "Outperformance: Does Managerial Specialization Pay?," Center for Financial Institutions Working Papers 97-31, Wharton School Center for Financial Institutions, University of Pennsylvania.
  77. Viet Hoang Nguyen & Yongcheol Shin, 2011. "Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics," Melbourne Institute Working Paper Series wp2011n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  78. Takatoshi Ito & Yuko Hashimoto, 2008. "Price Impacts of Deals and Predictability of the Exchange Rate Movements," NBER Chapters,in: International Financial Issues in the Pacific Rim: Global Imbalances, Financial Liberalization, and Exchange Rate Policy (NBER-EASE Volume 17), pages 177-217 National Bureau of Economic Research, Inc.
  79. Locke, Peter & Onayev, Zhan, 2007. "Order flow, dealer profitability, and price formation," Journal of Financial Economics, Elsevier, vol. 85(3), pages 857-887, September.
  80. Yuko Hashimoto, 2004. "The Impact of the Japanese Banking Crisis on the Intraday FX Market," Econometric Society 2004 Far Eastern Meetings 679, Econometric Society.
  81. Thomas Gehrig & Lukas Menkhoff, 2006. "Extended evidence on the use of technical analysis in foreign exchange," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(4), pages 327-338.
  82. Jon Wongswan, 2006. "Transmission of Information across International Equity Markets," Review of Financial Studies, Society for Financial Studies, vol. 19(4), pages 1157-1189.
  83. Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2016. "Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades," Journal of Finance, American Finance Association, vol. 71(2), pages 601-634, 04.
  84. 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.
  85. Rafael Romeu, 2003. "An Intraday Pricing Model of Foreign Exchange Markets," IMF Working Papers 03/115, International Monetary Fund.
  86. Wang, Jianxin & Yang, Minxian, 2011. "Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets," Journal of Financial Markets, Elsevier, vol. 14(1), pages 82-108, February.
  87. Lyons, Richard K., 1997. "A simultaneous trade model of the foreign exchange hot potato," Journal of International Economics, Elsevier, vol. 42(3-4), pages 275-298, May.
  88. Peter Koudijs, 2013. "The boats that did not sail: Asset Price Volatility and Market Efficiency in a Natural Experiment," NBER Working Papers 18831, National Bureau of Economic Research, Inc.
  89. Richard T. Baillie & Owen F. Humpage & William P. Osterberg, 1999. "Intervention as information: a survey," Working Paper 9918, Federal Reserve Bank of Cleveland.
  90. Hashimoto, Yuko, 2005. "The impact of the Japanese banking crisis on the intraday FX market in late 1997," Journal of Asian Economics, Elsevier, vol. 16(2), pages 205-222, April.
  91. Taylor, Mark P. & Schmidt, Markus & Reitz, Stefan, 2007. "End-user order flow and exchange rate dynamics," Discussion Paper Series 1: Economic Studies 2007,05, Deutsche Bundesbank, Research Centre.
  92. Kaul, Aditya & Mehrotra, Vikas, 2007. "The role of trades in price convergence: A study of dual-listed Canadian stocks," Journal of Empirical Finance, Elsevier, vol. 14(2), pages 196-219, March.
  93. T. Clifton Green, 2004. "Economic News and the Impact of Trading on Bond Prices," Journal of Finance, American Finance Association, vol. 59(3), pages 1201-1234, 06.
  94. Paola Paiardini, 2010. "The Price Impact of Economic News, Private Information and Trading Intensity," Birkbeck Working Papers in Economics and Finance 1011, Birkbeck, Department of Economics, Mathematics & Statistics.
  95. Ali Kutan & Tansu Aksoy, 2003. "Public Information Arrival and the Fisher Effect in Emerging Markets: Evidence from Stock and Bond Markets in Turkey," Journal of Financial Services Research, Springer;Western Finance Association, vol. 23(3), pages 225-239, June.
  96. Underwood, Shane, 2009. "The cross-market information content of stock and bond order flow," Journal of Financial Markets, Elsevier, vol. 12(2), pages 268-289, May.
  97. Christopher J. Neely, 1997. "Technical analysis in the foreign exchange market: a layman's guide," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 23-38.
  98. Dao, Thong M. & McGroarty, Frank & Urquhart, Andrew, 2016. "A calendar effect: Weekend overreaction (and subsequent reversal) in spot FX rates," Journal of Multinational Financial Management, Elsevier, vol. 37, pages 158-167.
  99. Cai, Jun & Cheung, Yan-Leung & Lee, Raymond S. K. & Melvin, Michael, 2001. "'Once-in-a-generation' yen volatility in 1998: fundamentals, intervention, and order flow," Journal of International Money and Finance, Elsevier, vol. 20(3), pages 327-347, June.
  100. Carlson, John A. & Osler, C. L., 2000. "Rational speculators and exchange rate volatility1," European Economic Review, Elsevier, vol. 44(2), pages 231-253, February.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.