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Local information in foreign exchange markets
16 references·1 citing·51 second hop
Local information in foreign exchange markets (2007)Local information in foreign exchange mar…The Geography of Equity Analysis (2005)The Geography of Equity Analy…Local Does as Local Is: Information Content of the Geography of Individual Investors' Common Stock Investments (2005)Local Does as Local Is: Infor…The “make or take” decision in an electronic market: Evidence on the evolution of liquidity (2004)The “make or take” decision i…Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve (2004)Price Discovery in the U.S. T…Order Flow and Exchange Rate Dynamics (2002)Order Flow and Exchange Rate …The Geography of Investment: Informed Trading and Asset Prices (2001)The Geography of Investment: …Location Matters: An Examination of Trading Profits (2001)Location Matters: An Examinat…Familiarity Breeds Investment (2001)Familiarity Breeds InvestmentCurrency traders and exchange rate dynamics: a survey of the US market (2001)Currency traders and exchange…Time and the Price Impact of a Trade (2000)Time and the Price Impact of …Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Empirical research on nominal exchange rates (1995)Empirical research on nominal…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets (1990)A Theory of the Interday Vari…Price, trade size, and information in securities markets (1987)Price, trade size, and inform…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…The electronic trading systems and bid-ask spreads in the foreign exchange market (2010)The electronic trading system…The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)How Distance, Language, and Culture Influence Stockholdings and Trades (2001)The determinants of cross-border equity flows (2004)Does function follow organizational form? Evidence from the lending practices of large and small banks (2005)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Using daily stock returns (1985)Estimating the components of the bid/ask spread (1988)Market liquidity and volume around earnings announcements (1994)Macroeconomics and Reality (1980)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)The theory and practice of econometrics (1986)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Does Algorithmic Trading Improve Liquidity? (2011)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The variation of certain speculative prices (1997)A Theory of Intraday Patterns: Volume and Price Variability (1988)Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models (1993)Statistical aspects of ARCH and stochastic volatility (1996)Order Flow and Exchange Rate Dynamics (1999)Does the Stock Market Overreact? (1985)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Equity Portfolio Diversification (2008)Just How Much Do Individual Investors Lose by Trading? (2008)The Causal Impact of Media in Financial Markets (2011)Domestic Saving and International Capital Flows (1980)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)Investor Psychology and Asset Pricing (2001)Risk, Return, and Equilibrium: Empirical Tests (1973)Multifactor Explanations of Asset Pricing Anomalies (1996)Industry costs of equity (1997)Stock price synchronicity and analyst coverage in emerging markets (2005)Does Corporate Headquarters Location Matter for Stock Returns? (2006)Information Immobility and the Home Bias Puzzle (2009)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Empirical exchange rate models of the seventies (1983)Exchange Rate Dynamics Redux (1995)Exchange Rates, Equity Prices, and Capital Flows (2005)International Liquidity and Exchange Rate Dynamics * (2015)Trading and Arbitrage in Cryptocurrency Markets (2018)
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References

  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 2001The Geography of Investment: Informed Trading and Asset Prices2,004 cited
  • 2001Familiarity Breeds Investment1,920 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 2005Local Does as Local Is: Information Content of the Geography of Individual Investors' Common Stock Investments1,315 cited
  • 2002Order Flow and Exchange Rate Dynamics957 cited
  • 2005The Geography of Equity Analysis913 cited
  • 1990A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets788 cited
  • 2001Location Matters: An Examination of Trading Profits624 cited
  • 2000Time and the Price Impact of a Trade592 cited
  • 2001Currency traders and exchange rate dynamics: a survey of the US market539 cited
  • 1995Empirical research on nominal exchange rates521 cited
  • 2004The “make or take” decision in an electronic market: Evidence on the evolution of liquidity483 cited

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  • 2004Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve359 cited
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    • 2010The electronic trading systems and bid-ask spreads in the foreign exchange market18 cited