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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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Related securities and price discovery : evidence from NYSE-listed non-US stocks
Korczak, Piotr; Phylaktis, Kate - In: Journal of empirical finance 17 (2010) 4, pp. 566-584
Persistent link: https://www.econbiz.de/10009267270
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Related securities and price discovery: Evidence from NYSE-listed Non-U.S. stocks
Korczak, Piotr; Phylaktis, Kate - In: Journal of empirical finance 17 (2010) 4, pp. 566-585
Persistent link: https://www.econbiz.de/10008436087
Cover Image
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. 640-655
Persistent link: https://www.econbiz.de/10008896113
Cover Image
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
Persistent link: https://www.econbiz.de/10008277039