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Limit orders and the intraday behavior of market liquidity : evidence from the Toronto stock exchange
Vo, Minh T. - In: Global finance journal 17 (2007) 3, pp. 379-396
Persistent link: https://www.econbiz.de/10003612072
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Intraday seasonality in activities of the foreign exchange markets : evidence from the electronic broking system
Ito, Takatoshi; Hashimoto, Yūko - In: Journal of the Japanese and international economies : … 20 (2006) 4, pp. 637-664
Persistent link: https://www.econbiz.de/10003496063
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Predicting volatility with realized absolute values : evidence from the Tokyo stock exchange
Nagata, Shuichi - In: The empirical economics letters : a monthly … 11 (2012) 6, pp. 551-558
Persistent link: https://www.econbiz.de/10009758150
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Intra-day seasonality in activities of the foreign exchange markets : evidence from the electronic broking system
Itō, Takatoshi; Hashimoto, Yūko - 2006
Persistent link: https://www.econbiz.de/10003360230
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Are REITs more resilient than non-REITs? : evidence from natural experiments
Jain, Pawan; Upadhyay, Arun - In: Japan and the world economy : international journal of … 58 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10012940111
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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
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Low-latency trading and price discovery : evidence from the Tokyo Stock Exchange in the pre-opening and opening periods
Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2017 - This version: April 2017
unique dataset from the Tokyo Stock Exchange (TSE) based on server-IDs and find that HFTs dynamically alter their presence in …
Persistent link: https://www.econbiz.de/10012061992
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Volatility forecasting using related markets' information for the Tokyo stock exchange
Jayawardena, Nirodha I.; Todorova, Neda; Li, Bin; Su, Jen-je - In: Economic modelling 90 (2020), pp. 143-158
Persistent link: https://www.econbiz.de/10012428085
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Testing for Market Microstructure Effects in Intraday Volatility : A Reassessment of the Tokyo FX Experiment
Anderson, Torben G. - 1998
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/10012472145
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Uncertainty and economic activity : a global perspective
Cesa-Bianchi, Ambrogio; Pesaran, M. Hashem; Rebucci, … - 2014
The 2007-2008 global financial crisis and the subsequent anemic recovery have rekindled academic interest in quantifying the impact of uncertainty on macroeconomic dynamics. This paper studies the interrelation between financial markets volatility and economic activity assuming that both...
Persistent link: https://www.econbiz.de/10011286232