Announcement versus nonannouncement: A study of intraday transaction price paths of Deutsche mark and Japanese yen futures

Journal of Futures Markets

Volumn 16, Issue 7, 1996, Pages 829-857

  Leng, Hsiaohua ^a  

^a UNIVERSITY OF WISCONSIN MADISON   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 8744262878     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q     Document Type: Article

References (8)

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2. Brock, W. A., and Kleidon, A. W. (1992): "Periodic Market Closure and Trading Volume: A Model of Intraday Bids and Asks," Journal of Economic Dynamics and Control, 16:451-489.
3. Brosen, B. W. (1989): "Liquid Costs and Scalping Returns in the Corn Futures Market," The Journal of Futures Markets, 9(3):225-236.
4. Chan, K., Chan, K. C., and Karolyi, A. (1991): "Intraday Volatility in the Stock Index and Stock Index Futures Markets," The Review of Financial Studies, 4(4):657-684.
5. Clark, P. K. (1973): "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, 41(1):135-159.
6. Duffie, D. (1989): Futures Markets. Englewood Cliffs, NJ: Prentice-Hall.
7. Ederington, L. H., and Lee, J. H. (1993): "How Markets Process Information: News Release and Volatility," The Journal of Finance, 48(4):1161-1191.
8. Ederington, L. H., and Lee, J. H. (1994): "The Response of the Dollar/Yen Exchange Rate to Economic Announcements," Financial Engineering and the Japanese Markets, 1:111-128.