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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
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Market structure and microstructure, in international interest rate futures markets
McGroarty, Frank; Ap Gwilym, Owain; Thomas, Stephen D. - In: Research in international business and finance 24 (2010) 3, pp. 253-266
Persistent link: https://www.econbiz.de/10003986226
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Structural changes, bid-ask spread composition and tick size in inter-bank futures trading
McGroarty, Frank; Ap Gwilym, Owain; Thomas, Stephen - In: The European journal of finance 17 (2011) 3/4, pp. 285-306
Persistent link: https://www.econbiz.de/10009155402
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Complementary or contradictory? : combining returns-based and characteristics-based investment style analysis
Mason, Andrew; McGroarty, Frank; Thomas, Stephen - In: The journal of asset management 14 (2013) 6, pp. 423-438
Persistent link: https://www.econbiz.de/10010258473
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Style analysis for diversified US equity funds
Mason, Andrew; McGroarty, Frank; Thomas, Stephen - In: The journal of asset management 13 (2012) 3, pp. 170-185
Persistent link: https://www.econbiz.de/10009568272
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The role of private information in return volatility, bid-ask spreads and price levels in the foreign exchange market
McGroarty, Frank; Ap Gwilym, Owain; Thomas, Stephen - In: Journal of international financial markets, … 19 (2009) 2, pp. 387-401
Persistent link: https://www.econbiz.de/10003800028
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The components of electronic inter-dealer spot FX bid-ask spreads
McGroarty, Frank; Ap Gwilym, Owain; Thomas, Stephen - In: Journal of business finance & accounting : JBFA 34 (2007) 9/10, pp. 1635-1650
Persistent link: https://www.econbiz.de/10003627073
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Mircostructure effects, bid-ask spreads and volatility in the spot foreign exchange market pre and post-EMU
McGroarty, Frank; Ap Gwilym, Owain; Thomas, Stephen - 2004
Persistent link: https://www.econbiz.de/10002447981
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Private information, excessive volability and intraday empirical regularities in the spot foreign exchange marktet
McGroarty, Frank; Ap Gwilym, Owain; Thomas, Stephen - 2005
Persistent link: https://www.econbiz.de/10003402636
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The Relative Importance of Information, Inventory and Price Clustering for Stir Futures Pre- and Post-Emu
McGroarty, Frank - 2007
This paper applies an established bid-ask spread decomposition model to short-term interest rates (STIR) futures to assess the impact of both the migration from floor to electronic trading and European Monetary Union (EMU). Additionally, the paper presents and tests a modified decomposition...
Persistent link: https://www.econbiz.de/10012732029