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News announcements and price discovery in foreign exchange spot and futures markets

Chen, Yu-lun; Gau, Yin-feng - In: Journal of banking & finance 34 (2010) 7, pp. 1628-1636

Persistent link: https://www.econbiz.de/10008649423

The effectiveness of position limits : evidence from the foreign exchange futures markets

Chang, Ya-kai; Chen, Yu-lun; Chou, Robin K.; Gau, Yin-feng - In: Journal of banking & finance 37 (2013) 11, pp. 4501-4509

Persistent link: https://www.econbiz.de/10010246949

Asymmetric responses of ask and bid quotes to information in the foreign exchange market

Chen, Yu-lun; Gau, Yin-feng - In: Journal of banking & finance 38 (2014), pp. 194-204

Persistent link: https://www.econbiz.de/10010340779

Foreign exchange market intervention and price discovery

Chen, Yu-Lun; Gau, Yin-feng - In: Journal of the Japanese and international economies : … 38 (2015), pp. 214-227

Persistent link: https://www.econbiz.de/10011481138

Tick sizes and relative rates of price discovery in stock, futures, and options markets : evidence from the Taiwan Stock Exchange

Chen, Yu-Lun; Gau, Yin-feng - In: The journal of futures markets 29 (2009) 1, pp. 74-93

Persistent link: https://www.econbiz.de/10003826623

Government Intervention and Price Discovery in the Foreign Exchange Market

Chen, Yu-Lun - 2011

This paper examines the impact of central bank intervention operation on the price discovery of ask and bid quotes in an electronic limit order market of USD-JPY. Based on both methods of Hasbrouck (1995) and Gonzalo and Granger (1995), we find bid quotes provide more price discovery in the...

Persistent link: https://www.econbiz.de/10013121319

The information effect of order flows in foreign currency futures and spot markets

Chen, Yu-Lun; Gau, Yin-feng - In: The journal of futures markets 42 (2022) 8, pp. 1549-1572

Persistent link: https://www.econbiz.de/10013288004

Trading activities and price discovery in foreign currency futures markets

Chen, Yu-Lun; Gau, Yin-feng; Liao, Wen-Ju - In: Review of quantitative finance and accounting 46 (2016) 4, pp. 792-818

Persistent link: https://www.econbiz.de/10011595489

Tick sizes and relative rates of price discovery in stock, futures, and options markets: Evidence from the Taiwan stock exchange

Chen, Yu-Lun; Gau, Yin-Feng - In: The journal of futures markets 29 (2009) 1, pp. 74-93

Persistent link: https://www.econbiz.de/10008161646

News announcements and price discovery in foreign exchange spot and futures markets

Chen, Yu-Lun; Gau, Yin-Feng - In: Journal of banking & finance 34 (2010) 7, pp. 1628-1637

Persistent link: https://www.econbiz.de/10008412243

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