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Market Microstructure of the Foreign Exchange Markets: Evidence from the Electronic Broking System

In: Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures

Author

Listed:
  • Yuko Hashimoto
  • Takatoshi Ito

Abstract

Availability of high-frequency exchange rate data for researchers has improved technical details and statistical accuracy of exchange rate research in recent years. Based on an event-study analysis and time series methodology, this chapter shows the intraday pattern of dollar/yen transaction activities, predictability of exchange rate movements and impact of macroeconomic news announcements on returns in minute(s) after the announcement.

Suggested Citation

  • Yuko Hashimoto & Takatoshi Ito, 2011. "Market Microstructure of the Foreign Exchange Markets: Evidence from the Electronic Broking System," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures, chapter 3, pages 66-91, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-0-230-29810-1_3
    DOI: 10.1057/9780230298101_3
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    Cited by:

    1. Arturo Lorenzo-Valdés & Antonio Ruiz-Porras, 2012. "Los rendimientos cambiarios latinoamericanos y la (a)simetría de los shocks informacionales: un análisis econométrico," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(2), pages 87-113, November.

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