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Asymmetric information, price discovery and macroeconomic announcements in FX market : do top trading bank know more?

Phylaktis, Kate; Chen, Long - In: International journal of finance & economics : IJFE 15 (2010) 3, pp. 228-246

Persistent link: https://www.econbiz.de/10008702346

Public information arrival : price discovery and liquidity in electronic limit order markets

Riordan, Ryan; Storkenmaier, Andreas; Wagener, Martin; … - In: Journal of banking & finance 37 (2013) 4, pp. 1148-1159

Persistent link: https://www.econbiz.de/10009716239

Macroeconomic news announcements and price discovery : evidence from Canadian-U.S. cross-listed firms

Frijns, Bart; Indriawan, Ivan; Tourani Rad, Alireza - In: Journal of empirical finance 32 (2015), pp. 35-48

Persistent link: https://www.econbiz.de/10011556775

Private information flow and price discovery in the US treasury market

Jiang, George J.; Lo, Ingrid - In: Journal of banking & finance 47 (2014), pp. 118-133

Persistent link: https://www.econbiz.de/10010506499

The information effect of order flows in foreign currency futures and spot markets

Chen, Yu-Lun; Gau, Yin-feng - In: The journal of futures markets 42 (2022) 8, pp. 1549-1572

Persistent link: https://www.econbiz.de/10013288004

Intraday jumps, liquidity, and U.S. macroeconomic news : evidence from exchange traded funds

Jurdi, Doureige J. - In: Journal of risk and financial management : JRFM 13 (2020) 6/118, pp. 1-20

This paper uses two highly liquid S&P 500 and gold exchange-traded funds (ETFs) to evaluate the impact of liquidity and macroeconomic news surprises on the frequency of observing intraday jumps. It explicitly addresses market microstructure noise-induced biases in realized estimators used in...

Persistent link: https://www.econbiz.de/10012305143