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Government Intervention and Price Discovery in the Foreign Exchange Market
Chen, Yu-Lun - 2011
This paper examines the impact of central bank intervention operation on the price discovery of ask and bid quotes in an electronic limit order market of USD-JPY. Based on both methods of Hasbrouck (1995) and Gonzalo and Granger (1995), we find bid quotes provide more price discovery in the...
Persistent link: https://www.econbiz.de/10013121319
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Determinants of periodic volatility of intraday exchange rates in the Taipei FX market
Hua, Mingshu; Gau, Yin-Feng - In: Pacific-Basin finance journal 14 (2006) 2, pp. 193-208
Persistent link: https://www.econbiz.de/10003303541
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Foreign exchange market intervention and price discovery
Chen, Yu-Lun; Gau, Yin-feng - In: Journal of the Japanese and international economies : … 38 (2015), pp. 214-227
Persistent link: https://www.econbiz.de/10011481138