A comprehensive set of estimates of long memory in the volatility of three intra-day foreign exchange data series is presented. Robust semiparametric methods are used. Deseasonalizing procedures are proposed and permit the use of fully parametric methods which provide efficient tests of long...

This paper studies the high frequency reaction of the DEM/USD exchange rate to publicly announced macroeconomic information emanating from Germany and the U.S. The new content of each announcement is extracted using a set of market expectation figures supplied by MMS International. By using data...

This paper examines two aspects of spot FX volatility. Using intra-daily quotation data on the Deutsche Mark/Dollar we simultaneously estimate the deterministic intra-daily seasonal pattern inherent in volatility and the effects of US macroeconomic announcements. The empirical specification and...

We study the effects of sterilised intervention operations executed on behalf of the Swiss National Bank (SNB) using tick-by-tick transactions data between 1986 and 1995. We extend the preliminary results obtained by Fischer and Zurlinden (1991) by matching these data with intra-day indicative...

This paper tries to provide a simple explanation for the empirical finding, documented here and also by Hau, Killeen and Moore (2002), that spreads in the spot USD/EUR market are substantially higher than those in the preceding DEM/USD foreign exchange market. The paper argues that it is...

We analyse the trade characteristics and market conditions which determine the market share of an electronic order book at the London Stock Exchange, where an upstairs¶ network of dual-capacity firms is also available for trade.  We hypothesise and empirically verify that execution and...

Most of the existing empirical literature on FX market microstructure uses indicative quote data derived from Reuters EFX Screens. This paper examines the adequacy of such data as proxies for firm, tradeable quotes. We present a comparison of prices (and volumes) derived from Reuters D2000-2...

We investigate how business ties with portfolio firms influence mutual funds’ proxy voting using a comprehensive dataset spanning 2003 to 2011. In sharp contrast to the prior literature, we show that the proxy voting of mutual funds is significantly influenced by their business ties with...

This paper shows that product market competition has two opposing effects on asset returns. The first relates to the procyclical nature of the value destruction from expansion of competitors, which lowers exposure to systematic risk in more competitive industries. The second is related to the...

We develop a dynamic model of liquidity provision, in which hedgers can trade multiple risky assets with arbitrageurs. We compute the equilibrium in closed form when arbitrageurs’ utility over consumption is logarithmic or risk-neutral with a non-negativity constraint. Liquidity is increasing...