Semi‐transparency, dealership market, and foreign exchange market quality
Author
Abstract
Suggested Citation
DOI: 10.1016/j.rfe.2011.11.001
Download full text from publisher
References listed on IDEAS
- Martin D.D. Evans & Richard K. Lyons, 2017.
"Order Flow and Exchange Rate Dynamics,"
World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 6, pages 247-290,
World Scientific Publishing Co. Pte. Ltd..
- Martin D. D. Evans & Richard K. Lyons, 2002. "Order Flow and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 110(1), pages 170-180, February.
- Evans, Martin D. & Lyons, Richard K., 1999. "Order Flow and Exchange Rate Dynamics," Research Program in Finance, Working Paper Series qt0dh1c16w, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley.
- Martin D. D. Evans and Richard K. Lyons., 1999. "Order Flow and Exchange Rate Dynamics," Research Program in Finance Working Papers RPF-288, University of California at Berkeley.
- Martin D.D. Evans & Richard K. Lyons, 1999. "Order Flow and Exchange Rate Dynamics," NBER Working Papers 7317, National Bureau of Economic Research, Inc.
- Madhavan, Ananth, 1995. "Consolidation, Fragmentation, and the Disclosure of Trading Information," The Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 579-603.
- Naik, Narayan Y & Neuberger, Anthony & Viswanathan, S, 1999. "Trade Disclosure Regulations in Markets with Negotiated Trades," The Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 873-900.
- Bessembinder, Hendrik & Maxwell, William & Venkataraman, Kumar, 2006. "Market transparency, liquidity externalities, and institutional trading costs in corporate bonds," Journal of Financial Economics, Elsevier, vol. 82(2), pages 251-288, November.
- Biais, Bruno, 1993. "Price Information and Equilibrium Liquidity in Fragmented and Centralized Markets," Journal of Finance, American Finance Association, vol. 48(1), pages 157-185, March.
- Zhao, Xin & Chung, Kee H., 2007. "Information Disclosure and Market Quality: The Effect of SEC Rule 605 on Trading Costs," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(3), pages 657-682, September.
- Harris, Jeffrey H. & Schultz, Paul H., 1997. "The importance of firm quotes and rapid executions: Evidence from the January 1994 SOES rules change," Journal of Financial Economics, Elsevier, vol. 45(1), pages 135-166, July.
- Danielsson, J. & Payne, R., 2002.
"Real trading patterns and prices in spot foreign exchange markets,"
Journal of International Money and Finance, Elsevier, vol. 21(2), pages 203-222, April.
- Danielsson, Jon & Payne, Richard, 1999. "Real trading patterns and prices in spot foreign exchange markets," LSE Research Online Documents on Economics 119126, London School of Economics and Political Science, LSE Library.
- Jon Danielsson & Richard Payne, 1999. "Real Trading Patterns and Prices in Spot Foreign Exchange Markets," FMG Discussion Papers dp320, Financial Markets Group.
- Gang Shyy & Jie‐Haun Lee, 1995. "Price transmission and information asymmetry in Bund futures markets: LIFFE vs. DTB," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 15(1), pages 87-99, February.
- Madhavan, Ananth, 1996.
"Security Prices and Market Transparency,"
Journal of Financial Intermediation, Elsevier, vol. 5(3), pages 255-283, July.
- Madhavan, A., 1991. "Security Prices and Market Transparency," Weiss Center Working Papers 1-92, Wharton School - Weiss Center for International Financial Research.
- Chung, Kee H. & Chuwonganant, Chairat, 2007. "Quote-based competition, market share, and execution quality in NASDAQ-listed securities," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2770-2795, September.
- Kaul, Aditya & Sapp, Stephen, 2009. "Trading activity, dealer concentration and foreign exchange market quality," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2122-2131, November.
- Michael A. Goldstein & Edith S. Hotchkiss & Erik R. Sirri, 2007. "Transparency and Liquidity: A Controlled Experiment on Corporate Bonds," The Review of Financial Studies, Society for Financial Studies, vol. 20(2), pages 235-273.
- Gemmill, Gordon, 1996. "Transparency and Liquidity: A Study of Block Trades on the London Stock Exchange under Different Publication Rules," Journal of Finance, American Finance Association, vol. 51(5), pages 1765-1790, December.
- Sapp, Stephen G., 2002. "Price Leadership in the Spot Foreign Exchange Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(3), pages 425-448, September.
- Erik Theissen, 2003.
"Trader Anonymity, Price Formation and Liquidity,"
Review of Finance, European Finance Association, vol. 7(1), pages 1-26.
- Theissen, Erik, 2002. "Trader Anonymity, Price Formation and Liquidity," Bonn Econ Discussion Papers 20/2002, University of Bonn, Bonn Graduate School of Economics (BGSE).
- 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.
- Lyons, Richard K., 1996. "Optimal Transparency in a Dealer Market with an Application to Foreign Exchange," Journal of Financial Intermediation, Elsevier, vol. 5(3), pages 225-254, July.
- Mikhail Golosov & Guido Lorenzoni & Aleh Tsyvinski, 2014.
"Decentralized Trading With Private Information,"
Econometrica, Econometric Society, vol. 82(3), pages 1055-1091, May.
- Mikhail Golosov & Aleh Tsyvinski & Guido Lorenzoni, 2008. "Decentralized trading with private information," 2008 Meeting Papers 391, Society for Economic Dynamics.
- Mikhail Golosov & Guido Lorenzoni & Aleh Tsyvinski, 2009. "Decentralized Trading with Private Information," NBER Working Papers 15513, National Bureau of Economic Research, Inc.
- Phylaktis, Kate & Chen, Long, 2009. "Price discovery in foreign exchange markets: A comparison of indicative and actual transaction prices," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 640-654, September.
- Flood, Mark D, et al, 1999. "Quote Disclosure and Price Discovery in Multiple-Dealer Financial Markets," The Review of Financial Studies, Society for Financial Studies, vol. 12(1), pages 37-59.
- Hasbrouck, Joel, 1995. "One Security, Many Markets: Determining the Contributions to Price Discovery," Journal of Finance, American Finance Association, vol. 50(4), pages 1175-1199, September.
- Madhavan, Ananth & Porter, David & Weaver, Daniel, 2005. "Should securities markets be transparent?," Journal of Financial Markets, Elsevier, vol. 8(3), pages 265-287, August.
- Terrence Hendershott & Charles M. Jones, 2005. "Island Goes Dark: Transparency, Fragmentation, and Regulation," The Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 743-793.
- Bloomfield, Robert & O'Hara, Maureen, 1999. "Market Transparency: Who Wins and Who Loses?," The Review of Financial Studies, Society for Financial Studies, vol. 12(1), pages 5-35.
- Hasbrouck, Joel, 2002. "Stalking the "efficient price" in market microstructure specifications: an overview," Journal of Financial Markets, Elsevier, vol. 5(3), pages 329-339, July.
- Almeida, Alvaro & Goodhart, Charles & Payne, Richard, 1998.
"The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(3), pages 383-408, September.
- Alvaro Almeida & Richard Payne & Charles Goodhart, 1997. "The Effects of Macroeconomic News on High Frequency Exchange Rate Behaviour," FMG Discussion Papers dp258, Financial Markets Group.
- Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2007.
"Real-time price discovery in global stock, bond and foreign exchange markets,"
Journal of International Economics, Elsevier, vol. 73(2), pages 251-277, November.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2006. "Real-time price discovery in global stock, bond and foreign exchange markets," International Finance Discussion Papers 871, Board of Governors of the Federal Reserve System (U.S.).
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2007. "Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets," CREATES Research Papers 2007-20, Department of Economics and Business Economics, Aarhus University.
- Pagano, Marco & Roell, Ailsa, 1996. "Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading," Journal of Finance, American Finance Association, vol. 51(2), pages 579-611, June.
- Ding, Liang & Hiltrop, Jonas, 2010. "The electronic trading systems and bid-ask spreads in the foreign exchange market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(4), pages 323-345, October.
- Shmuel Baruch, 2005. "Who Benefits from an Open Limit-Order Book?," The Journal of Business, University of Chicago Press, vol. 78(4), pages 1267-1306, July.
- Jeffrey A. Frankel & Giampaolo Galli & Alberto Giovannini, 1996. "The Microstructure of Foreign Exchange Markets," NBER Books, National Bureau of Economic Research, Inc, number fran96-1.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Chung, Kee H. & Chuwonganant, Chairat, 2009. "Transparency and market quality: Evidence from SuperMontage," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 93-111, January.
- Paulo Pereira da Silva & Carlos Vieira & Isabel Vieira, 2018. "Central clearing and CDS market quality," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 731-753, June.
- Pham, Thu Phuong & Westerholm, P. Joakim, 2013. "A survey of research into broker identity and limit order book," Working Papers 17212, University of Tasmania, Tasmanian School of Business and Economics, revised 16 Oct 2013.
- Ding, Liang & Hiltrop, Jonas, 2010. "The electronic trading systems and bid-ask spreads in the foreign exchange market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(4), pages 323-345, October.
- Eom, Kyong Shik & Ok, Jinho & Park, Jong-Ho, 2007. "Pre-trade transparency and market quality," Journal of Financial Markets, Elsevier, vol. 10(4), pages 319-341, November.
- Johannes A. Skjeltorp & Elvira Sojli & Wing Wah Tham, 2011.
"Sunshine trading: Flashes of trading intent at the NASDAQ,"
Working Paper
2011/17, Norges Bank.
- Johannes A. Skjeltorp & Elvira Sojli & Wing Wah Tham, 2012. "Sunshine Trading: Flashes of Trading Intent at the NASDAQ," Tinbergen Institute Discussion Papers 12-141/IV/DSF47, Tinbergen Institute.
- He, Yinghua & Nielsson, Ulf & Guo, Hong & Yang, Jiong, 2014.
"Subscribing to transparency,"
Journal of Banking & Finance, Elsevier, vol. 44(C), pages 189-206.
- He, Yinghua & Nielsson, Ulf & Guo, Hong & Yang, Jiong, 2012. "Subscribing to Transparency," TSE Working Papers 12-351, Toulouse School of Economics (TSE), revised Nov 2013.
- Sun, Zhuowei & Dunne, Peter G. & Li, Youwei, 2015.
"Price discovery in the dual-platform US Treasury market,"
Global Finance Journal, Elsevier, vol. 28(C), pages 95-110.
- Sun, Zhuowei & Dunne, Peter G. & Li, Youwei, 2015. "Price Discovery in the Dual-Platform US Treasury Market," MPRA Paper 61440, University Library of Munich, Germany.
- Biais, Bruno & Glosten, Larry & Spatt, Chester, 2005.
"Market microstructure: A survey of microfoundations, empirical results, and policy implications,"
Journal of Financial Markets, Elsevier, vol. 8(2), pages 217-264, May.
- Biais, Bruno & Glosten, Larry & Spatt, Chester, 2004. "Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications," IDEI Working Papers 253, Institut d'Économie Industrielle (IDEI), Toulouse.
- Ariadna Dumitrescu, 2010. "Liquidity and Optimal Market Transparency," European Financial Management, European Financial Management Association, vol. 16(4), pages 599-623, September.
- Degryse, H.A., 2007. "Competition on financial markets : Does market design matter?," Other publications TiSEM ee5530b2-34f7-4d95-ad62-f, Tilburg University, School of Economics and Management.
- Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
- Moez Bennouri & C. Clark & Jacques Robert, 2010.
"Information provision in financial markets,"
Annals of Finance, Springer, vol. 6(2), pages 255-286, March.
- Moez Bennouri & C.Robert Clark & Jacques Robert, 2010. "Information provision in financial markets," Post-Print hal-00565501, HAL.
- Hendrik Bessembinder & William Maxwell, 2008. "Markets: Transparency and the Corporate Bond Market," Journal of Economic Perspectives, American Economic Association, vol. 22(2), pages 217-234, Spring.
- John Board & Charles Sutcliffe & Stephen Wells, 2002. "Transparency and Fragmentation," Palgrave Macmillan Books, Palgrave Macmillan, number 978-1-4039-0707-3, March.
- Menkhoff, Lukas & Schmeling, Maik, 2010.
"Trader see, trader do: How do (small) FX traders react to large counterparties' trades?,"
Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1283-1302, November.
- Menkhoff, Lukas & Schmeling, Maik, 2009. "Trader see, trader do: How do (small) FX traders react to large counterparties' trades?," Hannover Economic Papers (HEP) dp-415, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Peter Gomber & Satchit Sagade & Erik Theissen & Moritz Christian Weber & Christian Westheide, 2017.
"Competition Between Equity Markets: A Review Of The Consolidation Versus Fragmentation Debate,"
Journal of Economic Surveys, Wiley Blackwell, vol. 31(3), pages 792-814, July.
- Gomber, Peter & Sagade, Satchit & Theissen, Erik & Weber, Moritz Christian & Westheide, Christian, 2016. "Competition between equity markets: A review of the consolidation versus fragmentation debate," SAFE Working Paper Series 35, Leibniz Institute for Financial Research SAFE, revised 2016.
- 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.
- Bessembinder, Hendrik & Maxwell, William & Venkataraman, Kumar, 2006. "Market transparency, liquidity externalities, and institutional trading costs in corporate bonds," Journal of Financial Economics, Elsevier, vol. 82(2), pages 251-288, November.
- Elisa Baraibar‐Diez & María D. Odriozola & José Luis Fernández Sánchez, 2017. "A Survey of Transparency: An Intrinsic Aspect of Business Strategy," Business Strategy and the Environment, Wiley Blackwell, vol. 26(4), pages 480-489, May.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:revfec:v:21:y:2012:i:1:p:1-13. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://doi.org/10.1002/(ISSN)1873-5924 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.