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Tests Of Microstructural Hypotheses In The Foreign Exchange Market
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Book Synopsis Tests of Microstructural Hypotheses in the Foreign Exchange Market by : Richard K. Lyons
Download or read book Tests of Microstructural Hypotheses in the Foreign Exchange Market written by Richard K. Lyons and published by . This book was released on 2010 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces a three-part transactions dataset to test various microstructural hypotheses about the spot foreign exchange market. In particular, we test for effects of trading volume on quoted prices through the two channels stressed in the literature: the information channel and the inventory-control channel. We find that trades have both a strong information effect and a strong inventory-control effect, providing support for both strands of microstructure theory. The bulk of equity-market studies also find an information effect; however, these studies typically interpret this as evidence of inside information. Since there are no insiders in the foreign exchange market, this finding suggests a broader conception of the information environment, at least in this context.
Book Synopsis Test of microstructural hypotheses in the foreign exchange market by : Richard K. Lyons
Download or read book Test of microstructural hypotheses in the foreign exchange market written by Richard K. Lyons and published by . This book was released on 1993 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Tests of Microstructural Hypotheses in the Foreign Exchange Market by : Richard K. Lyons
Download or read book Tests of Microstructural Hypotheses in the Foreign Exchange Market written by Richard K. Lyons and published by . This book was released on 1993 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces a three-part transactions dataset to test various microstructural hypotheses about the spot foreign exchange market. In particular, we test for effects of trading volume on quoted prices through the two channels stressed in the literature: the information channel and the inventory-control channel. We find that trades have both a strong information effect and a strong inventory-control effect, providing support for both strands of microstructure theory. The bulk of equity-market studies also find an information effect; however, these studies typically interpret this as evidence of inside information. Since there are no insiders in the foreign exchange market, this finding suggests a broader conception of the information environment, at least in this context.
Book Synopsis The Microstructure of Foreign Exchange Markets by : Jeffrey A. Frankel
Download or read book The Microstructure of Foreign Exchange Markets written by Jeffrey A. Frankel and published by University of Chicago Press. This book was released on 2009-05-15 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: The foreign exchange market is the largest, fastest-growing financial market in the world. Yet conventional macroeconomic approaches do not explain why people trade foreign exchange. At the same time, they fail to explain the short-run determinants of the exchange rate. These nine innovative essays use a microstructure approach to analyze the workings of the foreign exchange market, with special emphasis on institutional aspects and the actual behavior of market participants. They examine the volume of transactions, heterogeneity of traders, the time of day and location of trading, the bid-ask spread, and the high level of exchange rate volatility that has puzzled many observers. They also consider the structure of the market, including such issues as nontransparency, asymmetric information, liquidity trading, the use of automated brokers, the relationship between spot and derivative markets, and the importance of systemic risk in the market. This timely volume will be essential reading for anyone interested in the economics of international finance.
Book Synopsis The Microstructure Approach to Exchange Rates by : Richard K. Lyons
Download or read book The Microstructure Approach to Exchange Rates written by Richard K. Lyons and published by MIT Press (MA). This book was released on 2001 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: Explaining the puzzling behavior of exchange rates using models from microstructure finance and data from electronic trading.
Book Synopsis Currency Competition and Foreign Exchange Markets by : Philipp Hartmann
Download or read book Currency Competition and Foreign Exchange Markets written by Philipp Hartmann and published by Cambridge University Press. This book was released on 1998-12-10 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: Currency Competition and Foreign Exchange Markets by Philipp Hartmann of the European Central Bank is a major theoretical and empirical study of international currencies, which focuses on the role which the Euro will play in the international monetary and financial system along with the US dollar and the Japanese yen. In contrast to much of the existing literature which approaches the subject from a macroeconomic perspective, Philipp Hartmann develops a theoretical model which uses game theory, time series and panel econometrics, and links financial markets analysis with transaction cost economics. The results of Currency Competition and Foreign Exchange Markets are presented with reference to political, historical and institutional considerations, and provide accessible answers to policy-makers, business people and scholars worldwide. The sections on Spread Estimation and Multiple Vehicles with Inter-Dealer Price and Entry Competition will be of particular use for finance professionals.
Book Synopsis Testing for Market Microstructure Effects in Intraday Volatility by : Torben Gustav Andersen
Download or read book Testing for Market Microstructure Effects in Intraday Volatility written by Torben Gustav Andersen and published by . This book was released on 1998 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops mew robust inference procedures for analyzing the intraday return volatility patterns that constitute a focal point of much market microstructure theory. Our empirical analysis is motivated by the recent lifting of trading restrictions in the interbank foreign exchange (FX) market for Japanese banks during the Tokyo lunch period. Ito, Lyons, and Melvin (1998) (ILM) argue that this deregulation resulted in a highly significant shift in the volatility pattern across the entire Japanese trading day, indicating that private information is an important component of the price formation process in the FX market. In contrast, our robust analysis finds no evidence for any discernible change in the pattern outside of the Tokyo lunch period. Moreover, we document that the standard variance-ratio methodology inference in this high-frequency data context.
Author :Lucio Sarno Publisher :International Economics Section Department of Eco Ceton Univ ISBN 13 : Total Pages :70 pages Book Rating :4.:/5 (321 download)
Book Synopsis The Microstructure of the Foreign-exchange Market by : Lucio Sarno
Download or read book The Microstructure of the Foreign-exchange Market written by Lucio Sarno and published by International Economics Section Department of Eco Ceton Univ. This book was released on 2001 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Intraday Pricing Model of Foreign Exchange Markets by : Rafael Romeu
Download or read book An Intraday Pricing Model of Foreign Exchange Markets written by Rafael Romeu and published by International Monetary Fund. This book was released on 2003-06-01 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: Market makers learn about asset values as they set intraday prices and absorb portfolio flows. Absorbing these flows causes inventory imbalances. Previous work has argued that market makers change prices to manage incoming flows and offset inventory imbalances. This study argues that they have multiple instruments, or ways to manage inventory imbalances and learn about evolving asset values. Hence, they smooth inventory levels and update prior information about assets using multiple instruments. In ignoring other instruments, previous studies have ignored the information that these provide and overemphasize the role of price changes in inventory management. The model presented here provides new estimates of asymmetric information and inventory effects, the price impact of each instrument, the cost of liquidity, and the impact of an intervention on these costs.
Book Synopsis Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures by : G. Gregoriou
Download or read book Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures written by G. Gregoriou and published by Springer. This book was released on 2010-12-13 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new financial risk measures using parametric and non-parametric techniques. In particular, it investigates the market microstructure of foreign exchange and futures markets.
Author :International Monetary Fund. Research Dept. Publisher :International Monetary Fund ISBN 13 :1589064755 Total Pages :193 pages Book Rating :4.5/5 (89 download)
Book Synopsis IMF Staff Papers, Volume 52, No. 3 by : International Monetary Fund. Research Dept.
Download or read book IMF Staff Papers, Volume 52, No. 3 written by International Monetary Fund. Research Dept. and published by International Monetary Fund. This book was released on 2005-12-22 with total page 193 pages. Available in PDF, EPUB and Kindle. Book excerpt: This last issue for 2005 comprises seven new papers, including a contribution to the journal's occasional Special Data Section about domestic debt markets in Sub-Saharan Africa, and also an in-depth look at the internal job market for entry-level economists at the IMF. The remaining articles cover toics as diverse as: modeling of asset markets, exchange rates in developing countries, international bank claims on Latin America, the effectiveness of "early warning" systems, and the use (by emerging market countries) of the IMF's Special Data Dissemination Standard (SDDS).
Book Synopsis Testing for Market Microstructure Effects in Intraday Volatility by : Torben G. Andersen
Download or read book Testing for Market Microstructure Effects in Intraday Volatility written by Torben G. Andersen and published by . This book was released on 2010 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops mew robust inference procedures for analyzing the intraday return volatility patterns that constitute a focal point of much market microstructure theory. Our empirical analysis is motivated by the recent lifting of trading restrictions in the interbank foreign exchange (FX) market for Japanese banks during the Tokyo lunch period. Ito, Lyons, and Melvin (1998) (ILM) argue that this deregulation resulted in a highly significant shift in the volatility pattern across the entire Japanese trading day, indicating that private information is an important component of the price formation process in the FX market. In contrast, our robust analysis finds no evidence for any discernible change in the pattern outside of the Tokyo lunch period. Moreover, we document that the standard variance-ratio methodology inference in this high-frequency data context.
Book Synopsis International Money and Finance by : Michael Melvin
Download or read book International Money and Finance written by Michael Melvin and published by Academic Press. This book was released on 2017-03-27 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: International Money and Finance, Ninth Edition presents an institutional and historical overview of international finance and international money, illustrating how key economic concepts can illuminate real world problems. With three substantially revised chapters, and all chapters updated, it functions as a finance book that includes an international macroeconomics perspective in its final section. It emphasizes the newest trends in research, neatly defining the intersection of macro and finance. Successfully used worldwide in both finance and economics departments at both undergraduate and graduate levels, the book features current data, revised test banks, and sharp insights about the practical implications of decision-making. Includes current events, such as the LIBOR and Greek crises increases emphasis on countries other than the US Minimizes prerequisites to encourage use by students from varied backgrounds
Book Synopsis Market Liquidity by : Thierry Foucault
Download or read book Market Liquidity written by Thierry Foucault and published by Oxford University Press. This book was released on 2023 with total page 531 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The process by which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. This book offers a more accurate and authoritative take on this process. The book starts from the assumption that not everyone is present at all times simultaneously on the market, and that participants have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus, a security's actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. The book takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. The authors draw on a vast body of theoretical insights and empirical findings on security price formation that have come to form a well-defined field within financial economics known as "market microstructure." Focusing on liquidity and price discovery, the book analyzes the tension between the two, pointing out that when price-relevant information reaches the market through trading pressure rather than through a public announcement, liquidity may suffer. It also confronts many striking phenomena in securities markets and uses the analytical tools and empirical methods of market microstructure to understand them. These include issues such as why liquidity changes over time and differs across securities, why large trades move prices up or down, and why these price changes are subsequently reversed, and why we observe temporary deviations from asset fair values"--
Book Synopsis International Financial Integration by : Richard C. Marston
Download or read book International Financial Integration written by Richard C. Marston and published by Cambridge University Press. This book was released on 1997-04-13 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: Currency denomination remains a barrier to full financial integration, however, since both nominal and real returns on financial instruments vary widely by currency, even between currencies tied together by the European Monetary System. This study examines relative returns in the money and bond markets of these countries, investigating whether there are systematic variations in relative returns across currencies.
Book Synopsis European Monetary Union by : Paul J.J. Welfens
Download or read book European Monetary Union written by Paul J.J. Welfens and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 463 pages. Available in PDF, EPUB and Kindle. Book excerpt: Paul J. J. Welfens European monetary union has been discussed for more than three decades and is likely to be realized in 1999. One may anticipate generous interpretations of the fiscal convergence criteria. Such generosity consistent with the Maastricht Treaty might impair the credibility of the ECB and the stability of the Euro, respectively, despite the fact that inflation is a monetary phenomenon and has little to do with government deficits, unless they were financed via the printing press, which is excluded in the Maastricht Treaty. The European Commission's forecast of spring 1997 suggests that Italy will have problems in joining the EMU starter group as the is expected to be 3. 2% in 1997 and even 3. 9% in 1998. A Italian deficitlGDP ratio fully developed EMU group (with all 15 cowltries included) would represent 38% of the OECD GDP, slightly higher than the U. S. with 33% (Japan 21%). The exports/GDP ratio of EU countries is 30%, the ratio with respect to exports outside the EU would be 10% (Japan, U. S. 8%). The share of the U. S. dollar in international currency reserves fell from 67% to 40% in 1995, while the share of European currencies increased from 13% to 37%. Prior to the EMU, market participants have to anticipate whether a transition to 1999 will bring windfall losses or gains in various bond markets.
Book Synopsis Strategic Trading in Illiquid Markets by : Burkart Mönch
Download or read book Strategic Trading in Illiquid Markets written by Burkart Mönch and published by Springer Science & Business Media. This book was released on 2006-01-13 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Area of Research and the Object of Investigation In this thesis we will investigate trading strategies in illiquid markets from a market microstructure perspective. Market microstructure is the academic term for the branch of financial economics that investigates trading and the organization of security markets, see, e. g. , Harris (2002). Historically, exchanges evolved as a location, where those interested in buy ing or selling securities could meet physically to transact. Thus, traditionally security trading was organized on exchange floors, where so-called dealers arranged all trades and provided liquidity by quoting prices at which they were willing buy or sell. Consequently, the initial surge of the market mi crostructure literature focused predominantly on this type of market design, which is often referred to as quote-driven. Nowadays, the interest is shifting towards order-driven markets. Beginning with the Toronto Stock Exchange in the mid 1970s and increasing in fre quency and scope, this market structure has emerged as the preeminent form of security trading worldwide. In order-driven markets, exchanges arrange trades by matching public orders, often by employing automatic execution systems. Introduction A major difference between a quote-driven and an order-driven market arises from the transparency pre- and post-trade. The pre-trade transparency con cerns the question whether the order book is visible to the keeper only, or whether it is open to the public.
