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The role of private information in return volatility, bid–ask spreads and price levels in the foreign exchange market

McGroarty, F.; Thomas, S.; ap Gwilym, O. - 2009

Trading volume and order flow have both been closely associated with informed trader activity in the market microstructure literature. Using theory that explains regular intraday patterns in trading data, we transform these two variables into proxies for private information and examine their...

Persistent link: https://www.econbiz.de/10009457853

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

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

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

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

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

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

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

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

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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