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What determines transaction costs in foreign exchange markets?
16 references·3 citing·33 second hop
What determines transaction costs in foreign exchange markets? (2007)What determines transaction costs in fore…Currency Returns, Intrinsic Value, and Institutional‐Investor Flows (2005)Currency Returns, Intrinsic V…The portfolio flows of international investors (2001)The portfolio flows of intern…The Components of the Bid-Ask Spread: A General Approach (1997)The Components of the Bid-Ask…In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets (1997)In Search of Liquidity: Block…Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading (1996)Transparency and Liquidity: A…The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (1996)The Upstairs Market for Large…Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Dealer versus auction markets…The Behavior of Stock Prices Around Institutional Trades (1995)The Behavior of Stock Prices …Bid—ask spreads and volatility in the foreign exchange market (1994)Bid—ask spreads and volatilit…Institutional trades and intraday stock price behavior (1993)Institutional trades and intr…Equilibrium Block Trading and Asymmetric Information (1990)Equilibrium Block Trading and…Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests (1989)Inferring the Components of t…The effect of large block transactions on security prices: A cross-sectional analysis (1987)The effect of large block tra…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Network Structure and Pricing in the FX Market (2020)Network Structure and Pricing…Foreign Exchange Market Structure, Players and Evolution (2011)Foreign Exchange Market Struc…Trader see, trader do: How do (small) FX traders react to large counterparties’ trades? (2010)Trader see, trader do: How do…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)Efficient Capital Markets: II (1991)Inferring Trade Direction from Intraday Data (1991)Presidential Address: Friction (2000)The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers (2000)Stealth-trading: Which traders' trades move stock prices? (2001)Price, trade size, and information in securities markets (1987)Market microstructure: A survey (2000)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)The Cross-Section of Expected Stock Returns (1992)Advertising, Breadth of Ownership, and Liquidity (2003)The illusory nature of momentum profits (2003)The Behavior of Stock-Market Prices (1965)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices (1972)Estimating the components of the bid/ask spread (1988)Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)Are Momentum Profits Robust to Trading Costs? (2004)Pricing the commonality across alternative measures of liquidity (2007)The impact of institutional trading on stock prices (1992)Mutual Fund Herding and the Impact on Stock Prices (1999)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Style investing (2003)Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Noise Trader Risk in Financial Markets (1990)Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)Optimal trading strategy and supply/demand dynamics (2012)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1997The Components of the Bid-Ask Spread: A General Approach1,145 cited
  • 1996Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE1,009 cited
  • 2001The portfolio flows of international investors956 cited
  • 1989Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests949 cited
  • 1995The Behavior of Stock Prices Around Institutional Trades794 cited
  • 1993Institutional trades and intraday stock price behavior626 cited
  • 1996The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects601 cited
  • 1996Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading545 cited
  • 1987The effect of large block transactions on security prices: A cross-sectional analysis464 cited
  • 1997In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets318 cited
  • 1990Equilibrium Block Trading and Asymmetric Information310 cited
  • 1994

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Bid—ask spreads and volatility in the foreign exchange market
300 cited
  • 2005Currency Returns, Intrinsic Value, and Institutional‐Investor Flows299 cited
  • Cited by

    • 2020Network Structure and Pricing in the FX Market28 cited
    • 2010Trader see, trader do: How do (small) FX traders react to large counterparties’ trades?27 cited
    • 2011Foreign Exchange Market Structure, Players and Evolution27 cited