Price discovery and liquidity recovery: Forex market reactions to macro announcements
Author:
Funder
Japan Society for the Promotion of Science
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference31 articles.
1. VPIN and the flash crash;Andersen;J. Financ. Mark.,2014
2. Micro effects of macro announcements: real-time price discovery in foreign exchange;Anderson;Am. Econ. Rev.,2003
3. Real-time price discovery in global stock, bond and foreign exchange markets;Andersen;J. Int. Econ.,2007
4. Post-earnings-announcement drift: delayed price response or risk premium?;Bernard;J. Account. Res.,1989
5. Competing market makers, liquidity provision, and bid-ask spreads;Bondarenko;J. Financ. Mark.,2001
Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Macro news effects on exchange rates: Difference between carry trade target and safe-haven currencies;Finance Research Letters;2023-05
2. The effect of overnight corporate announcements on price discovery;Finance Research Letters;2023-05
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