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A microstructural effect of Japanese official intervention in the yen/dollar foreign exchange market

Akiba, Hiroya; Kitamura, Yoshihiro; Matsuda, Shinichi; … - In: Exchange rates in developed and emerging markets : …, (pp. 60-74). 2013

Persistent link: https://www.econbiz.de/10010212668

Foreign exchange market intervention : market microstructure models and empirical investigations

Danila, Nevi; Islam, Sardar M. N. - 2018

Introduction -- The foreign exchange intervention -- The bid-ask spread: the market microstructure perspective -- The empirical decomposition of the bid-ask spread for exchange rates -- Government intervention on the spread -- References -- Appendices.

Persistent link: https://www.econbiz.de/10012010574

Microstructure effects, bid-ask spreads and volatility in the spot foreign exchange market pre and post-EMU

McGroarty, Frank; Ap Gwilym, Owain; Thomas, Stephen - In: Global finance journal 17 (2006) 1, pp. 23-49

Persistent link: https://www.econbiz.de/10003381769

Trading volume, volatility, order flow and spread : evidence from a Tunisian dealer

Kouki, Imen; Haque, Mahfuzul - In: International journal of business and emerging markets … 3 (2011) 4, pp. 354-376

Persistent link: https://www.econbiz.de/10009376841

09/11 on the USD/EUR foreign exchange market

Mende, Alexander - In: Applied financial economics 16 (2006) 3, pp. 213-222

Persistent link: https://www.econbiz.de/10003291879

09/11 on the USD/EUR foreign exchange market

Mende, Alexander (contributor) - 2005

We study the relationship between foreign exchange trading activity and volatility on the USD/EUR foreign exchange … market on the basis of a unique data set around the events of 09/11/2001. We find that volatility and bid-ask spreads are by … far larger at that time, but the shock is not persistent. The positive correlation between volume and volatility does not …