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Price discovery in foreign exchange markets : a comparison of indicative and actual transaction prices
Phylaktis, Kate; Chen, Long - In: Journal of empirical finance 16 (2009) 4, pp. 640-654
In this paper, we compare four months of Reuters EFX high frequency indicative data with D2000-1 inter-dealer transaction data for DEM/USD and GBP/USD. Contrary to previous studies, we find, using various information measures, that the matched tick-by-tick indicative data bear no qualitative...
Persistent link: https://www.econbiz.de/10003900329
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Market liberalization within a country
Qian, Sun; Tong, Wilson H.; Yan, Yuxing - In: Journal of empirical finance 16 (2009) 1, pp. 18-41
Persistent link: https://www.econbiz.de/10003800140
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Bond vs stock market's Q : testing for stability across frequencies and over time
Gallegati, Marco; Ramsey, James B. - In: Journal of empirical finance 24 (2013), pp. 138-150
Persistent link: https://www.econbiz.de/10010371984
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Bond and stock market response to unexpected dividend changes
Tsai, Hui-Ju; Wu, Yangru - In: Journal of empirical finance 30 (2015), pp. 1-15
Persistent link: https://www.econbiz.de/10011489208
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Disaggregation and the equity premium puzzle
Wilson, Matthew S. - In: Journal of empirical finance 58 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012430446
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Applying the method of simulated moments to estimate a small agent-based asset pricing model
Franke, Reiner - In: Journal of empirical finance 16 (2009) 5, pp. 804-815
Persistent link: https://www.econbiz.de/10003900410
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Time varying consumption covariance and dynamics of the equity premium : evidence from the G7 countries
Sarkar, Asani; Zhang, Lingjia - In: Journal of empirical finance 16 (2009) 4, pp. 613-631
Persistent link: https://www.econbiz.de/10003900309
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On the usefulness of the contrarian strategy across national stock markets : a grid bootstrap analysis
Kim, Hyeongwoo - In: Journal of empirical finance 16 (2009) 5, pp. 734-744
Persistent link: https://www.econbiz.de/10003900389
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Price discovery in tick time
Frijns, Bart; Schotman, Peter C. - In: Journal of empirical finance 16 (2009) 5, pp. 759-776
Persistent link: https://www.econbiz.de/10003900405
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The magnet effect of price limits : a logit approach
Hsieh, Ping-hung; Kim, Yong H.; Yang, J. Jimmy - In: Journal of empirical finance 16 (2009) 5, pp. 830-837
Persistent link: https://www.econbiz.de/10003900412