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Time-varying liquidity in foreign exchange · Study

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ArticleTime-varying liquidity in foreign exchange

Martin D.D. Evans2002

Article2002

Time-varying liquidity in foreign exchange

Martin D.D. Evans · Richard K. Lyons

101 citations·0/0 files stored·Journal of Monetary Economics

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Financial Markets and Investment Strategies Monetary Policy and Economic Impact Financial Risk and Volatility Modeling

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 101 citations exist upstream.

References

1985Continuous Auctions and Insider Trading 1980On the Impossibility of Informationally Efficient Markets 1980On the Impossibility of Informationally Efficient Markets 1993Differences of Opinion Make a Horse Race 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 1992Time and the Process of Security Price Adjustment 1995Differential Interpretation of Public Signals and Trade in Speculative Markets 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies

Cited by

2008Information, Trading, and Product Market Interactions: Cross‐sectional Implications of Informed Trading 2011Global liquidity risk in the foreign exchange market 2009Exchange rate management in emerging markets: Intervention via an electronic limit order book 2009Price Discovery in the Foreign Currency Futures and Spot Market 2005Customer Order Flow and Exchange Rate Movements: Is There Really Information Content?2009Whose trades convey information? Evidence from a cross-section of traders 2011Market Liquidity and Flow-driven Risk 2010A Survey of Announcement Effects on Foreign Exchange Returns

Details

Year2002

Typearticle

Published2002-07-01

VenueJournal of Monetary Economics

ISSN-L0304-3932

Languageen

Citations101

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.1016/s0304-3932(02)00124-1

openalex_workW2162796440

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