The role of private information in return volatility, bid-ask spreads and price levels in the foreign exchange market

Journal of International Financial Markets, Institutions and Money

Volumn 19, Issue 2, 2009, Pages 387-401

  McGroarty, Frank ^a   ap Gwilym, Owain ^b   Thomas, Stephen ^c  

^a UNIVERSITY OF SOUTHAMPTON   (United Kingdom)

^b ABERYSTWYTH UNIVERSITY   (United Kingdom)

^c CITY UNIVERSITY   (United Kingdom)

Author keywords

Asymmetric information; Foreign exchange; High frequency data; Market microstructure; Order driven

Indexed keywords

EID: 57949083016     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.intfin.2008.04.001     Document Type: Article

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