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

Author:

Chen Yu-Lun,Gau Yin-Feng

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference29 articles.

1. Micro effects of macro announcements: Real-time price discovery in foreign exchange;Andersen;American Economic Review,2003

2. Real-time price discovery in global stock, bond, and foreign exchange markets;Andersen;Journal of International Economics,2007

3. Liquidity and the evolution of price discovery on floor versus screen-based trading systems: an analysis of the foreign exchange futures markets;Ates;Review of Futures Markets,2006

4. Price discovery and common factor models;Baillie;Journal of Financial Markets,2002

5. News announcements, market activity and volatility in the euro/dollar foreign exchange market;Bauwens;Journal of International Money and Finance,2005

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