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Price Discovery and Liquidity Recovery : Forex Market Reactions to Macro Announcements
Yamada, Masahiro - 2020
We examine whether the forex market quality, measured by the speed of price discovery and liquidity recovery after macro statistics announcements, has improved using the EBS high-frequency data for 20 years. Considering the recent rise of computer-based trading, a popular conjecture is that the...
Persistent link: https://www.econbiz.de/10012481993
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Price Discovery and Liquidity Recovery : Forex Market Reactions to Macro Announcements
Yamada, Masahiro; Itō, Takatoshi - 2022
We examine whether the forex market quality, measured by the speed of price discovery and liquidity recovery after macro statistics announcements, has improved using the EBS high-frequency data for 20 years. Considering the recent rise of computer-based trading, a popular conjecture is that the...
Persistent link: https://www.econbiz.de/10013314316
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Price discovery and liquidity recovery : forex market reactions to macro announcements
Yamada, Masahiro; Itō, Takatoshi - In: Journal of international money and finance 120 (2022), pp. 1-21
Persistent link: https://www.econbiz.de/10013417335
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Japan premium and stock prices : two mirrors of Japanese banking crises
Itō, Takatoshi; Harada, Kimie - 2000
Persistent link: https://www.econbiz.de/10001530937
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Do bulls and bears move across borders? : international transmission of stock returns and volatility as the world turns
Lin, Wen-ling Tsai; Engle, Robert F.; Itō, Takatoshi - 1991
Persistent link: https://www.econbiz.de/10000827421
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Explaining asset bubbles in Japan
Itō, Takatoshi - 1995
Persistent link: https://www.econbiz.de/10000926310
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Price volatility and volume spillovers between the Tokyo and New York stock markets
Itō, Takatoshi - 1993
Persistent link: https://www.econbiz.de/10000881895
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One day in June, 1993 : a study of the working of Reuters 2000-2 electronic foreign exchange trading system
Goodhart, Charles A. E.; Itō, Takatoshi; Payne, Richard - 1995
Persistent link: https://www.econbiz.de/10000935050
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Deposit guarantees and the burst of the Japanese bubble economy
Cargill, Thomas F. - In: Contemporary economic policy : a journal of Western … 14 (1996) 3, pp. 41-52
Persistent link: https://www.econbiz.de/10001207993
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Lunch break and intraday volatility of stock returns : an hourly data analysis of Tokyo and New York stock markets
Itō, Takatoshi - In: Economics letters 39 (1992) 1, pp. 85-90
Persistent link: https://www.econbiz.de/10001129224