کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7356704 1478288 2018 55 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Jumps, cojumps, and efficiency in the spot foreign exchange market
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Jumps, cojumps, and efficiency in the spot foreign exchange market
چکیده انگلیسی
I identify intraday jumps and cojumps in exchange rates controlling for volatility patterns and relate these events to pre-scheduled macroeconomic news and market conditions. Event study results show that preceding jump and cojump events, exchange rate quote volume, illiquidity, signed order flow, and informed trades are at heightened levels revealing that jump events are consistent with rational dealer quoting behavior. Following jump and cojump events, quote volume and return variance remain at heightened levels while illiquidity, informed trade, and signed order flow remain at depressed levels providing evidence that order flow following jump events is largely uninformed liquidity provision.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 87, February 2018, Pages 49-67
نویسندگان
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