Using a broad data set of 20 US dollar exchange rates and order flow of institutional investors over 14 years, we construct a measure of global liquidity risk in the foreign exchange (FX) market. Our FX liquidity measure may be seen as the analogue of the well-known Pastor-Stambaugh liquidity...

This study introduces a new asset pricing factor to capture both the effects of concentrated ownership and institutional development of in 61 international equity markets. The evidence suggests the new measure offers significant improvements over the size and book-to-market value three factor...

We investigate the determinants of the time variation of the common component of FX market liquidity across developed and emerging market currencies. We study the impact of funding liquidity constraints, which proxy for supply considerations, and capital flows, which proxy for demand...

In this paper, we compare four months of Reuters EFX high frequency indicative data with D2000-1 inter-dealer transaction data for DEM/USD and GBP/USD. Contrary to previous studies, we find, using various information measures, that the matched tick-by-tick indicative data bear no qualitative...

The paper examines the impact of margins, adjusted for underlying price risk proxied by market volatility, on trading volume and at the same time incorporates the relationship between trading volume and price volatility documented in equities and futures markets. The study estimates bivariate...

This study investigates information asymmetry in the foreign exchange market and its implications for the existence of private information. It tests the hypothesis that top trading banks have more information on the macro-economy because they process greater order flow, which according to the...

This study investigates the existence of private information in the spot foreign exchange market by examining the impact of macroeconomic announcements on banks' currency pricing behavior. Using 5 years of indicative GBP/USD data and 11 U.S. macroeconomic announcements, we find that the price...

This paper investigates whether global imbalance in the size of the exchange rates order flow introduces asymmetric linkages. In particular, we study the high frequency volatility spillover between DEM/USD and GBP/USD using multivariate GARCH models over a two-year sample period of 1997 to 1998....

Using a comprehensive database covering 50 industry groups and 34 countries over the period 1992 to 2001 this paper examines the roles of the country and industry effects in international equity returns. It focuses on their evolution and on geographical differences. Although the country effects...

The paper compares the dynamics of global, country and industry effects in firm level returns between emerging and mature markets. Based on 1,893 firms in MSCI global index from 1990 to 2002 from 37 countries our results show that the global and industry effects are still dominated by the...