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Intraday patterns in FX returns and order flow
Breedon, Francis J.; Ranaldo, Angelo - In: Journal of money, credit and banking : JMCB 45 (2013) 5, pp. 953-965
Persistent link: https://www.econbiz.de/10010197597
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Intraday patterns in FX returns and order flow
Breedon, Francis J.; Ranaldo, Angelo - 2012
Using a comprehensive high-frequency foreign exchange dataset, we present evidence of time-of-day effects in foreign exchange returns through a significant tendency for currencies to depreciate during local trading hours. We confirm this pattern across a range of currencies and time zones. We...
Persistent link: https://www.econbiz.de/10009521479
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BV-VPIN: measuring the impact of order flow toxicity and liquidity on international equity markets
Low, Rand Kwong Yew; Li, Te; Marsh, Terry Alan - In: Journal of risk 21 (2018/2019) 2, pp. 63-97
Persistent link: https://www.econbiz.de/10011981423
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Liquidity withdrawal in the FX spot market : a cross-country study using high-frequency data
Stenfors, Alexis; Susai, Masayuki - In: Journal of international financial markets, … 59 (2019), pp. 36-57
Persistent link: https://www.econbiz.de/10012127871
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Liquidity, resiliency and market quality around predictable trades : theory and evidence
Bessembinder, Hendrik; Carrion, Allen; Tuttle, Laura; … - In: Journal of financial economics 121 (2016) 1, pp. 142-166
Persistent link: https://www.econbiz.de/10011590681
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Effects of lit and dark market fragmentation on liquidity
Gresse, Carole - In: Journal of financial markets 35 (2017), pp. 1-20
Persistent link: https://www.econbiz.de/10011820138
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Cleaning the gears : counter-cyclical asset trading with financial transactions taxes
Sarolli, Gian Domenico - In: The quarterly review of economics and finance : journal … 56 (2015), pp. 110-122
Persistent link: https://www.econbiz.de/10011574364
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A span of continuous trades and liquidity dynamics in foreign exchange markets
Chien, Chih-Chung; Chen, Shikuan; Chang, Ming-Jen - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 144-168
Persistent link: https://www.econbiz.de/10014253161
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Mikrostruktur und Handelseffizienz von Wertpapiermärkten : Konzeption einer vergleichenden Analyse
Liesner, Jörg - 1996 - [Mikrofiche-Ausg.]
Persistent link: https://www.econbiz.de/10000939223
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What are the best liquidity proxies for global research?
Fong, Kingsley Y. L.; Holden, Craig W.; Trzcinka, Charles - In: Review of finance : journal of the European Finance … 21 (2017) 4, pp. 1355-1401
Persistent link: https://www.econbiz.de/10011803836