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Price discovery in currency markets · Study

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ArticlePrice discovery in currency markets

Carol L. Osler2011

Article2011

Price discovery in currency markets

Carol L. Osler · Alexander Mende · Lukas Menkhoff

86 citations·0/0 files stored·Journal of International Money and Finance

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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 — 86 citations exist upstream.

References

1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1987Price, trade size, and information in securities markets 1991Measuring the Information Content of Stock Trades 1988Estimating the components of the bid/ask spread 2004Over-the-Counter Markets 1997The Components of the Bid-Ask Spread: A General Approach 2001The Microstructure Approach to Exchange Rates 2002Order Flow and Exchange Rate Dynamics

Cited by

2013The market microstructure approach to foreign exchange: Looking back and looking forward 2012Foreign Exchange Market Structure, Players, and Evolution 2020Asymmetric Information Risk in FX Markets 2015An investigation of price discovery and volatility spillovers in India’s foreign exchange market 2022Liquidity in the global currency market 2020Index Option Trading Activity and Market Returns 2017Bid-ask spread determination in the FX swap market: Competition, collusion or a convention?2015The liquidity premium in CDS transaction prices: Do frictions matter?

Details

Year2011

Typearticle

Published2011-09-11

VenueJournal of International Money and Finance

ISSN-L0261-5606

Languageen

Citations86

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.1016/j.jimonfin.2011.08.004

openalex_workW3022473169

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