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The inefficiency of Reuters foreign exchange quotes

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  • Martens, Martin
  • Kofman, Paul

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  • Martens, Martin & Kofman, Paul, 1998. "The inefficiency of Reuters foreign exchange quotes," Journal of Banking & Finance, Elsevier, vol. 22(3), pages 347-366, March.
    • Handle: RePEc:eee:jbfina:v:22:y:1998:i:3:p:347-366
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    9. Goodhart, Charles & Chang, Yuanchen & Payne, Richard, 1997. "Calibrating an algorithm for estimating transactions from FXFX exchange rate quotes," Journal of International Money and Finance, Elsevier, vol. 16(6), pages 921-930, December.
    10. Ederington, Louis H & Lee, Jae Ha, 1993. "How Markets Process Information: News Releases and Volatility," Journal of Finance, American Finance Association, vol. 48(4), pages 1161-1191, September.
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    15. Dacorogna, Michael M. & Muller, Ulrich A. & Nagler, Robert J. & Olsen, Richard B. & Pictet, Olivier V., 1993. "A geographical model for the daily and weekly seasonal volatility in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 12(4), pages 413-438, August.
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    Cited by:

    1. Li, Wei-Xuan & Chen, Clara Chia-Sheng & Nguyen, James, 2022. "Which market dominates the price discovery in currency futures? The case of the Chicago Mercantile Exchange and the Intercontinental Exchange," Global Finance Journal, Elsevier, vol. 52(C).
    2. Sanjay Sehgal & Wasim Ahmad & Florent Deisting, 2015. "An investigation of price discovery and volatility spillovers in India’s foreign exchange market," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 42(2), pages 261-284, May.
    3. Joshua V. Rosenberg & Leah G. Traub, 2006. "Price discovery in the foreign currency futures and spot market," Staff Reports 262, Federal Reserve Bank of New York.
    4. Dominguez, Kathryn M. E., 2003. "The market microstructure of central bank intervention," Journal of International Economics, Elsevier, vol. 59(1), pages 25-45, January.
    5. Ranaldo, Angelo, 2009. "Segmentation and time-of-day patterns in foreign exchange markets," Journal of Banking & Finance, Elsevier, vol. 33(12), pages 2199-2206, December.
    6. Tse, Yiuman, 1999. "Round-the-clock market efficiency and home bias: Evidence from the international Japanese government bonds futures markets," Journal of Banking & Finance, Elsevier, vol. 23(12), pages 1831-1860, December.
    7. Chang, Ya-Kai & Chen, Yu-Lun & Chou, Robin K. & Gau, Yin-Feng, 2013. "The effectiveness of position limits: Evidence from the foreign exchange futures markets," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4501-4509.
    8. Mizrach, Bruce & Neely, Christopher J., 2008. "Information shares in the US Treasury market," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1221-1233, July.
    9. Poskitt, Russell, 2008. "The truth about interest rate futures and forwards: Evidence from high frequency data," Global Finance Journal, Elsevier, vol. 18(3), pages 319-336.
    10. Chen, Yu-Lun & Gau, Yin-Feng, 2010. "News announcements and price discovery in foreign exchange spot and futures markets," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1628-1636, July.
    11. Jatin Malhotra & Angelo Corelli, 2021. "The Relative Informativeness of Regular and E-Mini Euro/Dollar Futures Contracts and the Role of Trader Types," Risks, MDPI, vol. 9(6), pages 1-14, June.

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