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Tests of microstructural hypotheses in the foreign exchange market

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Author Info
Lyons, Richard K.

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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 39 (1995)
Issue (Month): 2-3 ()
Pages: 321-351
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Handle: RePEc:eee:jfinec:v:39:y:1995:i:2-3:p:321-351

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Web page: http://www.elsevier.com/locate/inca/505576

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Richard K. Lyons, 1993. "Optimal Transparency in a Dealership Market with an Application to Foreign Exchange," NBER Working Papers 4467, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  2. Amihud, Yakov & Mendelson, Haim, 1980. "Dealership market : Market-making with inventory," Journal of Financial Economics, Elsevier, vol. 8(1), pages 31-53, March. [Downloadable!] (restricted)
  3. Madhavan, Ananth & Smidt, Seymour, 1991. "A Bayesian model of intraday specialist pricing," Journal of Financial Economics, Elsevier, vol. 30(1), pages 99-134, November. [Downloadable!] (restricted)
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  4. Bessembinder, Hendrik, 1994. "Bid-ask spreads in the interbank foreign exchange markets," Journal of Financial Economics, Elsevier, vol. 35(3), pages 317-348, June. [Downloadable!] (restricted)
  5. Hasbrouck, Joel, 1988. "Trades, quotes, inventories, and information," Journal of Financial Economics, Elsevier, vol. 22(2), pages 229-252, December. [Downloadable!] (restricted)
  6. Charles Goodhart, 1990. "News and the Foreign Exchange Market," FMG Discussion Papers dp71, Financial Markets Group. [Downloadable!] (restricted)
  7. Lyons, Richard K., 1990. "Whence exchange rate overshooting: Money stock or flow?," Journal of International Economics, Elsevier, vol. 29(3-4), pages 369-384, November. [Downloadable!] (restricted)
  8. Lee, Charles M C & Ready, Mark J, 1991. " Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-46, June. [Downloadable!] (restricted)
  9. Lawrence R. Glosten & Paul R. Milgrom, 1983. "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders," Discussion Papers 570, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
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  10. Kyle, Albert S, 1989. "Informed Speculation with Imperfect Competition," Review of Economic Studies, Blackwell Publishing, vol. 56(3), pages 317-55, July. [Downloadable!] (restricted)
  11. Glosten, Lawrence R, 1989. "Insider Trading, Liquidity, and the Role of the Monopolist Specialist," Journal of Business, University of Chicago Press, vol. 62(2), pages 211-35, April. [Downloadable!] (restricted)
  12. Ho, Thomas S Y & Stoll, Hans R, 1983. " The Dynamics of Dealer Markets under Competition," Journal of Finance, American Finance Association, vol. 38(4), pages 1053-74, September. [Downloadable!] (restricted)
  13. Zabel, Edward, 1981. "Competitive Price Adjustment without Market Clearing," Econometrica, Econometric Society, vol. 49(5), pages 1201-21, September. [Downloadable!] (restricted)
  14. Stoll, Hans R, 1989. " Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests," Journal of Finance, American Finance Association, vol. 44(1), pages 115-34, March. [Downloadable!] (restricted)
  15. Goodhart, C. A. E. & Figliuoli, L., 1991. "Every minute counts in financial markets," Journal of International Money and Finance, Elsevier, vol. 10(1), pages 23-52, March. [Downloadable!] (restricted)
  16. Admati, Anat R & Pfleiderer, Paul, 1989. "Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 2(2), pages 189-223. [Downloadable!] (restricted)
  17. Garman, Mark B., 1976. "Market microstructure," Journal of Financial Economics, Elsevier, vol. 3(3), pages 257-275, June. [Downloadable!] (restricted)
  18. O'Hara, Maureen & Oldfield, George S., 1986. "The Microeconomics of Market Making," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(04), pages 361-376, December. [Downloadable!]
  19. Roell, Ailsa, 1990. "Dual-capacity trading and the quality of the market," Journal of Financial Intermediation, Elsevier, vol. 1(2), pages 105-124, June. [Downloadable!] (restricted)
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