:::

詳目顯示

回上一頁
題名:Macroeconomic Announcements and Information Asymmetry in the Foreign Exchange Market
書刊名:財務金融學刊
作者:陳佑倫高櫻芬 引用關係王景譽
作者(外文):Chen, Yu-lunGau, Yin-fengWang, Ching-yu
出版日期:2013
卷期:21:3
頁次:頁1-28
主題關鍵詞:買賣價差逆選擇成本訊息不對稱電子仲介系統外匯市場Bid-ask spreadAdverse selection costInformation asymmetryElectronic broking systemForeign exchange market
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:0
  • 點閱點閱:105
期刊論文
1.Evans, Martin D. D.、Lyons, Richard K.(2005)。Do Currency Markets Absorb News Quickly?。Journal of International Money and Finance,24(2),197-217。  new window
2.Berger, David W.、Chaboud, Alain P.、Chernenko, Sergey V.、Howorka, Edward、Wright, Jonathan H.(2008)。Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data。Journal of International Economics,75(1),93-109。  new window
3.Ito, T.、Hashimoto, Y.(2006)。Intraday Seasonality in Activities of the Foreign Exchange Markets: Evidence from The Electronic Broking System。Journal of the Japanese and International Economies,20,637-664。  new window
4.Ahn, Hee-Joon、Cai, Jun、Hamao, Yasushi、Ho, Richard Y. K.(2002)。The Components of the Bid-Ask Spread in a Limit-Order Market: Evidence from the Tokyo Stock Exchange。Journal of Empirical Finance,9(4),399-430。  new window
5.Ahn, Hee-Joon、Jun Cai、Yasushi Hamao、Richard Y. K. Ho(2005)。Adverse selection, brokerage coverage, and trading activity on the Tokyo Stock Exchange。Journal of Banking and Finance,29,1483-1508。  new window
6.Bacchetta, Philippe、van Wincoop, Eric(2006)。Can information heterogeneity explain the exchange rate determination puzzle?。American Economic Review,96(3),552-576。  new window
7.Bjønnes, Geir Hoidal、Rime, Dagfinn(2005)。Dealer behavior and trading systems in foreign exchange markets。Journal of Financial Economics,75(3),571-605。  new window
8.Bjonnes,Geir Hoidal、Dagfinn Rime、Haakon O.Aa. Solheim(2005)。Liquidity provisions in the overnight foreign exchange market。Journal of International Money and Finance,24,175-196。  new window
9.Bollerslev, Tim、Domowitz, Ian(1993)。Trading patterns and prices in the interbank foreign exchange market。Journal of Finance,48(4),1421-1443。  new window
10.Brandt, Michael、Kavajecz, Kenneth A.(2004)。Price discovery in the U.S. treasury market: The impact of order flow and liquidity on the yield curve。Journal of Finance,59,2623-2654。  new window
11.Cao, H.、Henry, Evans、Martin D. D.、Richard K. Lyons(2006)。Inventory information。Journal of Business,79,325-363。  new window
12.Cheung, Yin-Wong、Chinn, Menzie David(2001)。Currency traders and exchange rate dynamics: A survey of the U.S. market。Journal of International Money and Finance,20,439-471。  new window
13.Cheung, Yin-Wong、Menzie David Chinn、Ian W. Marsh(2004)。How do UK- based foreign exchange dealers think their market operates?。International Journal of Finance and Economics,9,289-306。  new window
14.Cheung, Yin-Wong、Wong, Clement Yuk-Pang(2000)。A survey of market practitioners' views on exchange rate dynamics。Journal of International Economics,51,401-419。  new window
15.Chordia, Taurn、Subrahmanyam, Avanidhar(2004)。Order imbalances and individual stock returns: Theory and evidence。Journal of Financial Economics,72,485-518。  new window
16.Dominguez,Kathryn M. E.、Freyan Panthaki(2006)。What defines ‘news,in the foreign markets。Journal of International Money and Finance,25,168-198。  new window
17.Green, T. Clifton(2004)。Economic news and impact of trading on bond prices。Journal of Finance,59,1201-1233。  new window
18.Hartmann, Philipp(1999)。Trading volumes and transactions costs in the foreign exchange market: Evidence from daily dollar-yen spot data。Journal of Banking and Finance,23,801-824。  new window
19.Kim, Oliver、Robert E. Verrecchia(1997)。Pre-announcement and event- period information。Journal of Accounting and Economics,24,395-419。  new window
20.Love, Ryan、Richard Payne(2008)。Macroeconomic news,order flow and exchange rates。Journal of Financial and Quantitative Analysis,43,467-488。  new window
21.Lyons, Richard K.(1997)。A simultaneous trade model of the foreign exchange hot potato。Journal of International Economics,42(3),275-298。  new window
22.Madhavan, Ananth、Seymour Smidt(1993)。An analysis of daily changes in specialist inventories and quotations。Journal of Finance,48,1595-1628。  new window
23.Payne, Richard(2003)。Informed trade in spot foreign exchange markets: An empirical investigation。Journal of International Economics,61(2),307-329。  new window
24.Andersen, Torben G.、Bollerslev, Tim、Diebold, Francis X.、Vega, Clara(2007)。Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets。Journal of International Economics,73(2),251-277。  new window
25.Evans, Martin D. D.、Lyons, Richard K.(2002)。Order Flow and Exchange Rate Dynamics。Journal of Political Economy,110(1),170-180。  new window
26.Hasbrouck, Joel(1991)。The Summary Informativeness of Stock Trades: An Econometric Analysis。The Review of Financial Studies,4(3),571-595。  new window
27.He, Y.、H. Lin、J. Wang、C. Wu(2009)。Price Discovery in the Round-the-Clock U.S. Treasury Market。Journal of Financial Intermediation,18,464-490。  new window
28.Stoll, Hans R.、Ho, Thomas S. Y.(1981)。Optimal Dealer Pricing under Transactions and Return Uncertainty。Journal of Financial Economics,9(1),47-73。  new window
29.Huang, Roger D.、Stoll, Hans R.(1994)。Market Microstructure and Stock Return Predictions。Review of Financial Studies,7,179-213。  new window
30.Huang, Roger D.、Stoll, Hans R.(1997)。The Components of the Bid-Ask Spread: A General Approach?。The Review of Financial Studies,10(4),995-1034。  new window
31.Ito, T.、Lyons, K.、Melvin, T.(1998)。Is There Private Information in the Foreign Exchange Markets? The Tokyo Experiment。The Journal of Finance,53,1111-1131。  new window
32.Madhavan, Ananth、Richardson, Matthew、Roomans, Mark(1997)。Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks。Review of Financial Studies,10(4),1035-1064。  new window
33.Naranjo, Andy、Nimalendran, M.(2000)。Government intervention and adverse selection costs in foreign exchange markets。Review of Financial Studies,13(2),453-477。  new window
34.Peiers, Bettina(1997)。Informed Traders, Intervention, and Price Leadership: A Deeper View of the Microstructure of the Foreign Exchange Market。The Journal of Finance,52(4),1589-1614。  new window
35.Glosten, Lawrence R.、Harris, Lawrence E.(1988)。Estimating the Components of the Bid/Ask Spread。Journal of Financial Economics,21(1),123-142。  new window
36.Hasbrouck, Joel(1988)。Trades, Quotes, Inventories and Information。Journal of Financial Economics,22(2),229-252。  new window
37.Foster, F. D.、Viswanathan, S.(1993)。Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models。The Journal of Finance,48(1),187-211。  new window
38.McInish, T. H.、Wood, R. A.(1992)。An Analysis of Intraday Patterns in Bid-Ask Spreads for NYSE Stocks。The Journal of Finance,47(2),753-764。  new window
39.Roll, Richard(1984)。A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market。Journal of Finance,39(4),1127-1139。  new window
40.Stoll, Hans R.(1989)。Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests。Journal of Finance,44(1),115-134。  new window
41.Admati, A. R.、Pfleiderer, P.(1988)。A Theory of Intraday Patterns: Volume and Price Variability。Review of Financial Studies,1(1),3-40。  new window
42.Chordia, T.、Roll, R.、Subrahmanyam, A.(2002)。Order imbalance, liquidity and market returns。Journal of Financial Economics,65(1),111-130。  new window
43.Easley, David、O'Hara, Maureen(1987)。Price, trade size and information in securities markets。Journal of Financial Economics,19(1),69-90。  new window
44.Glosten, Lawrence R.、Milgrom, Paul R.(1985)。Bid, ask and transaction prices in a specialist market with heterogeneously informed traders。Journal of Financial Economics,14(1),71-100。  new window
45.Kim, Oliver、Verrecchia, Robert E.(1994)。Market Liquidity and Volume around Earnings Announcements。Journal of Accounting & Economics,17(1/2),41-67。  new window
46.Hasbrouck, Joel(1991)。Measuring the Information Content of Stock Trades。Journal of Finance,46(1),179-207。  new window
47.Kyle, Albert S.(1985)。Continuous auctions and insider trading。Econometrica,53(6),1315-1335。  new window
48.Lyons, R. D.(1993)。Tests of Microstructural Hypotheses in the Foreign Exchange Market。Journal of Financial Economics,39,321-351。  new window
49.French, K.、Roll, R.(1986)。Stock Return Variance: The Arrival of Information and the Reaction of Traders。Journal of Financial Economics,17,99-117。  new window
50.Evans, M. D.、Lyons, R. K.(2008)。How Is Macro News Transmitted to Exchange Rates?。Journal of Financial Economics,88,26-50。  new window
研究報告
1.Breedon, Francis、Angelo Ranaldo(2011)。Intraday patterns in FX returns and order flow。Swiss National Bank。  new window
2.Osier, Carol L.(2008)。Foreign exchange microstructure: A survey of the empirical literature。Brandeis University。  new window
3.Osier, Carol L.、Alexander Mende、Lukas Menkhoff(2007)。Price discovery in currency markets。Brandeis University。  new window
4.Yao, Jian(1998)。Spread components and dealer profits in the interbank foreign exchange market。New York University。  new window
圖書
1.Lyons, Richard K.(2001)。The Microstructure Approach to Exchange Rates。Cambridge, Massachusetts:MIT Press。  new window
圖書論文
1.Rime, Dagfinn(2003)。New electronic trading systems in the foreign exchange markets。New Economy Handbook。San Diego:Academic Press。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE