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Are Hungarian financial markets liquid enough? The theory and practice of FX and government securities market liquidity

Csávás, Csaba; Erhart, Szilárd - 2005

The subject of our study is market liquidity, which is an important element of the functioning of financial markets. Adequate liquidity of markets is of great significance from the point of view of both market participants and the central bank. On the one hand, of all market segments an...

Persistent link: https://www.econbiz.de/10010322402

Price discovery in currency markets

Osler, Carol Lee; Mende, Alexander; Menkhoff, Lukas - 2006

This paper makes three contributions to our understanding of the price discovery process in currency markets. First, it provides evidence that this process cannot be the familiar one based on adverse selection and customer spreads, since such spreads are inversely related to a trade?s likely...

Persistent link: https://www.econbiz.de/10010262967

Secondary market trading infrastructure of government securities

Balogh, Csaba; Kóczán, Gergely - 2009

of the bond market similar to that of the equity market. Introduction of the euro in Hungary will fundamentally change …

Persistent link: https://www.econbiz.de/10010322416

Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market

Frömmel, Michael; Kiss M., Norbert; Pintér, Klára - 2009

We investigate the relation between the EUR/HUF exchange rate on the one hand and news announcements and order flow on the other hand using intraday data. We extend the existing literature on foreign exchange market microstructure by considering a small open transition economy. We find that the...

Persistent link: https://www.econbiz.de/10010322449

The forint interest rate swap market and the main drivers of swap spreads

Csávás, Csaba; Varga, Lóránt; Balogh, Csaba - 2008

In our paper we present the most important characteristics of the forint interest rate swap market, as well as examine the determinants and the information content of the forint interest rate swap spreads. The turnover of the forint interest rate swap market has grown dynamically in recent...

Persistent link: https://www.econbiz.de/10010322396

Customer order flow, information and liquidity on the Hungarian foreign exchange market

Gereben, Áron; Gyomai, György; Kiss M., Nobert - 2006

Customer order flow - signed transaction volume between market makers and their customers - is a key concept in the microstructure approach to exchange rates. We attempt to explore what the data tells us about the role of customer order flow in the market for Hungarian forint, using the standard...

Persistent link: https://www.econbiz.de/10010322425

The information content of Hungarian sovereign CDS spreads

Varga, Lóránt - 2009

global credit derivatives markets. Our primary goals are to glean some information from the CDS spreads about Hungary … two rates may temporarily deviate from one another due to micro structural factors. Hungary's credit risk premium is … primarily defined in the Hungarian sovereign CDS market, which means that any new information pertaining to Hungary's credit …

Persistent link: https://www.econbiz.de/10010322419

Price formation and liquidity provision in short-term fixed income markets

D'Souza, Chris; Lo, Ingrid; Sapp, Stephen - 2007

Differences in market structures may affect the manner in which fundamental information is incorporated into prices. High levels of quote and trade transparency plus substantial quoting obligations in European government securities markets ensure that prices are informationally efficient. The...

Persistent link: https://www.econbiz.de/10010279998

Are the intraday effects of central bank intervention on exchange rate spreads asymmetric and state dependent?

Fatum, Rasmus; Pedersen, Jesper; Sørensen, Peter Norman - 2010

This paper investigates the intraday effects of unannounced foreign exchange intervention on bid-ask exchange rate spreads using official intraday intervention data provided by the Danish central bank. Our starting point is a simple theoretical model of the bid-ask spread which we use to...

Persistent link: https://www.econbiz.de/10011558470

Protectionism, bilateral integration, and the cross section of exchange rate returns in US presidential debates

de Boer, Jantke; Eichler, Stefan; Rövekamp, Ingmar - 2022

We study the impact of US presidential election TV debates on intraday exchange rates of 96 currencies from 1996 to 2016. Expectations about protectionist measures are the main transmission channel of debate outcomes. Currencies of countries with high levels of bilateral foreign trade with the...

Persistent link: https://www.econbiz.de/10013457861