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Does the law of one price hold in international financial markets? Evidence from tick data
16 references·5 citing·34 second hop
Does the law of one price hold in international financial markets? Evidence from tick data (2008)Does the law of one price hold in interna…Arbitrage in the foreign exchange market: Turning on the microscope (2008)Arbitrage in the foreign exch…U.S. Banking Deregulation, Small Businesses, and Interstate Insurance of Personal Income (2007)U.S. Banking Deregulation, Sm…Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand? (2005)Viewpoint: Towards a solution…Dealer behavior and trading systems in foreign exchange markets (2004)Dealer behavior and trading s…Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study (2003)Nonlinear dynamics in deviati…Anomalies: The Law of One Price in Financial Markets (2003)Anomalies: The Law of One Pri…The Microstructure Approach to Exchange Rates (2001)The Microstructure Approach t…Potential Pitfalls for the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price (2001)Potential Pitfalls for the Pu…Market Microstructure Theory. (1996)Market Microstructure Theory.The Limits of Arbitrage (1995)The Limits of ArbitrageMarket microstructure theory (1995)Market microstructure theoryCovered Interest Parity: A High-Frequency, High-Quality Data Study (1987)Covered Interest Parity: A Hi…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…Market microstructure (1976)Market microstructureInformation and Competitive Price Systems (1976)Information and Competitive P…Evolution of corporate governance in India and its impact on the growth of the financial market: an empirical analysis (1995-2014) (2019)Evolution of corporate govern…Timing exchange rates using order flow: The case of the Loonie (2010)Timing exchange rates using o…International equity portfolio allocations and transaction costs (2010)International equity portfoli…Trading activity, dealer concentration and foreign exchange market quality (2009)Trading activity, dealer conc…Foreign Exchange, Fractional Cointegration and the Implied-Realized Volatility Relation (2007)Foreign Exchange, Fractional …The General Theory of Employment, Interest and Money. (1936)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Bargains and Ripoffs: A Model of Monopolistically Competitive Price Dispersion (1977)On the Possibility of Speculation under Rational Expectations (1982)The Consequences of the Dependence of Quality on Price (1987)The Use of Knowledge in Society (1996)A model of investor sentiment /CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Cross-Section of Expected Stock Returns (1992)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Market Liquidity and Funding Liquidity (2008)How Big Is the Random Walk in GNP? (1988)Intertemporal Substitution in Consumption (1988)The overvaluation of purchasing power parity (1998)A Century of Purchasing-Power Parity (2002)PPP Strikes Back: Aggregation And the Real Exchange Rate (2002)Commodity currencies (2003)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)Order Flow and Exchange Rate Dynamics (1999)Market microstructure: A survey (2000)Common Risk Factors in Currency Markets (2011)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Realized Variance and Market Microstructure Noise (2006)Corporate Bond Market Transaction Costs and Transparency (2007)MIDAS Regressions: Further Results and New Directions (2007)Exchange rate forecasting, order flow and macroeconomic information (2009)Crash-neutral currency carry trades (2014)The Share of Systematic Variation in Bilateral Exchange Rates (2017)Trades, quotes, inventories, and information (1988)Tests of microstructural hypotheses in the foreign exchange market (1995)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)
this work references cited by second hop

References

  • 1995The Limits of Arbitrage5,282 cited
  • 1980On the Impossibility of Informationally Efficient Markets5,122 cited
  • 1980On the Impossibility of Informationally Efficient Markets3,640 cited
  • 1995Market microstructure theory1,305 cited
  • 1996Market Microstructure Theory.1,152 cited
  • 2001The Microstructure Approach to Exchange Rates1,043 cited
  • 1976Information and Competitive Price Systems921 cited
  • 1976Market microstructure555 cited
  • 2001Potential Pitfalls for the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price540 cited
  • 2008Arbitrage in the foreign exchange market: Turning on the microscope341 cited
  • 2005Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand?273 cited
  • 2003Anomalies: The Law of One Price in Financial Markets266 cited
  • 2003Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study243 cited
  • 2004Dealer behavior and trading systems in foreign exchange markets239 cited
  • 1987Covered Interest Parity: A High-Frequency, High-Quality Data Study182 cited

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  • 2007U.S. Banking Deregulation, Small Businesses, and Interstate Insurance of Personal Income158 cited
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    • 2010International equity portfolio allocations and transaction costs51 cited
    • 2010Timing exchange rates using order flow: The case of the Loonie47 cited
    • 2007Foreign Exchange, Fractional Cointegration and the Implied-Realized Volatility Relation32 cited
    • 2009Trading activity, dealer concentration and foreign exchange market quality30 cited
    • 2019Evolution of corporate governance in India and its impact on the growth of the financial market: an empirical analysis (1995-2014)29 cited