Showing 1 - 10 of 31
Monetary History, Exchange Rates and Financial Markets is an impressive collection of original papers in honour of Charles Goodhart's outstanding contribution to monetary economics and policy. Charles Goodhart has written extensively on many of these topics and has become synonymous with his...
Persistent link: https://www.econbiz.de/10011164857
Persistent link: https://www.econbiz.de/10005311638
Persistent link: https://www.econbiz.de/10005527794
Persistent link: https://www.econbiz.de/10005540251
We study the effects of sterilized intervention operations executed on behalf of the Swiss National Bank (SNB) using tick-by-tick transaction data between 1985-95.We extend preliminary analysis conducted by Fischer and Zurlinden (1999) by matching these data with intra-day indicative exchange...
Persistent link: https://www.econbiz.de/10005497953
Does it matter to market quality if broker identities are revealed after a trade and only to the two traders involved? We find that implementing full anonymity dramatically improves liquidity and reduces trader execution costs. To explain this, we compare theories based on asymmetric information...
Persistent link: https://www.econbiz.de/10011116725
We study the impact on market liquidity of the introduction of a penalty for high order-to-trade ratios (OTRs), implemented by the Italian Stock Exchange to curtail high-frequency quote submission. We find that the fee is associated with a collapse in the quoted depth of the stocks that make up...
Persistent link: https://www.econbiz.de/10011118082
The dependence of foreign exchange rates on order flow is investigated for four major exchange rate pairs, EUR/USD, EUR/GBP, GBP/USD and USD/JPY, across sampling frequencies ranging from 5 min to 1 week. Strong explanatory power is discovered for all sampling frequencies. We also uncover...
Persistent link: https://www.econbiz.de/10010972057
We exploit full order level information from an electronic FX broking system to provide a comprehensive account of the determination of its liquidity. We not only look at bid-ask spreads and trading volumes, but also study the determination of order entry rates and depth measures derived from...
Persistent link: https://www.econbiz.de/10010972078
Under rational expectations and efficient markets, the news contained in public information announcements is directly impounded into prices with there being no role for trades in this process of information assimilation. This paper directly tests this assertion using transaction level exchange...
Persistent link: https://www.econbiz.de/10011071361