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Testing for Market Microstructure Effects in Intraday Volatility : a Reassessment of the Tokyo FX Experiment

Andersen, Torben G. - 2010

trading restrictions in the interbank foreign exchange (FX) market for Japanese banks during the Tokyo lunch period. Ito … of the Tokyo lunch period. Moreover, we document that the standard variance-ratio methodology inference in this high …

Persistent link: https://www.econbiz.de/10012763589

Is There Private Information in the FX Market? The Tokyo Experiment

Ito, Takatoshi - 2010

this view. The evidence comes from the introduction of trading in Tokyo over the lunch-hour. Lunch return variance doubles … private value is transitory. Finally, the morning exhibits a clear U-shape when Tokyo closes over lunch, and it disappears …

Persistent link: https://www.econbiz.de/10012763663

Was the Forex Fixing Fixed?

Ito, Takatoshi - 2015

/settlement price for the day. Major fixings occur at 9:55 am Tokyo time for transactions between Japanese banks and their customers … provision at the fixing time is larger than other times, which makes the price impact of any trade smaller. At the Tokyo fixing … liquidity at the Tokyo fixing as well, such financial institutions had announced prices to be more favorable for banks up until …

Persistent link: https://www.econbiz.de/10013016022

Efficiency of the Tokyo Housing Market

Ito, Takatoshi; Hirono, Keiko Nosse - 2021

In analyzing the dynamics of Tokyo housing price, we have compiled annual micro data sets from individual listings in a … regressions give estimates of price and rent increases in the last 11 years in Tokyo. According to these estimates, prices …

Persistent link: https://www.econbiz.de/10013222233

The Mother of All Sudden Stops : Capital Flows and Reversals in Europe, 1919-32

Accominotti, Olivier - 2013

We present new data documenting European capital issues in major financial centers from 1919 to 1932. Push factors (conditions in international capital markets) perform better than pull factors (conditions in the borrowing countries) in explaining the surge and reversal in capital flows. In...

Persistent link: https://www.econbiz.de/10013073942

Cables, Sharks and Servers : Technology and the Geography of the Foreign Exchange Market

Eichengreen, Barry - 2016

We analyze the impact of technology on production and trade in services, focusing on the foreign exchange market. We identify exogenous technological changes by the connection of countries to submarine fiber-optic cables used for electronic trading, but which were not laid for purposes related...

Persistent link: https://www.econbiz.de/10013001201

How are Stock Prices Affected by the Location of Trade?

Froot, Kenneth - 2008

We examine pairs of large, Siamese twin' companies whose stocks are traded around the world but have different trading and ownership habitats. Twins pool their cashflows so, with integrated markets, twin stocks should move together. In contrast, the relative prices of twin stocks appear...

Persistent link: https://www.econbiz.de/10012774894

Volatility in International Financial Market Issuance : The Role of the Financial Center

Cipriani, Marco - 2007

We study the pattern of volatility of gross issuance in international capital markets since 1980. We find several short-lived episodes of high volatility. Over the long run, however, volatility has declined, suggesting that international financial integration has not made financial markets more...

Persistent link: https://www.econbiz.de/10012778260

Reach for Yield and Fickle Capital Flows

Caballero, Ricardo J. - 2018

In Caballero and Simsek (2018), we develop a model of fickle capital flows and show that, when countries are similar, international flows create global liquidity and mitigate crises despite their fickleness. In this paper, we focus on the asymmetric situation of Emerging Markets (EM) exchanging...

Persistent link: https://www.econbiz.de/10012925264

Financing Cities

Inman, Robert P. - 2021

The macro-economic and micro-economic evidences makes a persuasive case for cities as important centers for productive efficiency, innnovation, and economic growth. For cities to achieve their full economic potential, however, complementary public services are required. This paper reviews the...

Persistent link: https://www.econbiz.de/10013247679