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...

This paper investigates whether global imbalance in the size of the exchange rates order flow introduces asymmetric linkages. In particular, we study the high frequency volatility spillover between DEM/USD and GBP/USD using multivariate GARCH models over a two-year sample period of 1997 to 1998....

This paper investigates the extent to which financial markets in the Pacific Basin Region have become more integrated, by analyzing the comovements of real interest rates. The paper uses cointegration and error correction models and draws inferences on the degree of capital market integration by...