Tokyo insiders and the informational efficiency of the yen|dollar exchange rate
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DOI: 10.1002/ijfe.263
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References listed on IDEAS
- Brock, William A. & Kleidon, Allan W., 1992. "Periodic market closure and trading volume : A model of intraday bids and asks," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 451-489.
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Citations
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Cited by:
- Osler, Carol & Savaser, Tanseli, 2011.
"Extreme returns: The case of currencies,"
Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2868-2880, November.
- Carol Osler & Tanseli Savaser, 2010. "Extreme Returns: The Case of Currencies," Working Papers 04, Brandeis University, Department of Economics and International Business School.
- Ito, Takatoshi & Hashimoto, Yuko, 2006.
"Intraday seasonality in activities of the foreign exchange markets: Evidence from the electronic broking system,"
Journal of the Japanese and International Economies, Elsevier, vol. 20(4), pages 637-664, December.
- Takatoshi Ito & Yuko Hashimoto, 2006. "Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System," NBER Working Papers 12413, National Bureau of Economic Research, Inc.
- Takatoshi Ito & Yuko Hashimoto, 2006. "Intra-day Seasonality in Activities of the Foreign Exchange Markets: Evidence from the Electronic Broking System," CIRJE F-Series CIRJE-F-407, CIRJE, Faculty of Economics, University of Tokyo.
- Geir H. Bjønnes & Carol L. Osler & Dagfinn Rime, 2009. "Asymmetric information in the interbank foreign exchange market," Working Paper 2008/25, Norges Bank.
- Yuko Hashimoto & Takatoshi Ito, 2009. "Effects of Japanese Macroeconomic Announcements on the Dollar/Yen Exchange Rate: High-Resolution Picture," NBER Working Papers 15020, National Bureau of Economic Research, Inc.
- Yuko Hashimoto & Takatoshi Ito & Takaaki Ohnishi & Misako Takayasu & Hideki Takayasu & Tsutomu Watanabe, 2012.
"Random walk or a run. Market microstructure analysis of foreign exchange rate movements based on conditional probability,"
Quantitative Finance, Taylor & Francis Journals, vol. 12(6), pages 893-905, March.
- Yuko Hashimoto & Takatoshi Ito & Takaaki Ohnishi & Misako Takayasu & Hideki Takayasu & Tsutomu Watanabe, 2008. "Random Walk or A Run: Market Microstructure Analysis of the Foreign Exchange Rate Movements based on Conditional Probability," NBER Working Papers 14160, National Bureau of Economic Research, Inc.
- Kam Fong Chan & Phil Gray & Zheyao Pan, 2021. "The profitability of trading on large Lévy jumps," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 627-635, June.
- Han-Ching Huang & Yong-Chern Su & Hsin-Ying Wang, 2015. "Market Efficiency around the Announcement Day of Self-Tender Offers," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 9(1), pages 121-128.
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