Volume in the spot foreign exchange market dwarfs that in any other financial market. But is all this trading informative? This paper provides some empirical evidence. At the broadest level, my results help clarify why trading volume in this market is extraordinarily high. At a narrower level, I provide some sharp results regarding the relation between the intensity of trading and the informa-tiveness of trades. Specifically, I provide results that discriminate between polar views of trad-ing intensity, to which I refer as (1) the event-uncertainty view and (2) the hot potato view. The event-uncertainty view holds that trades are more informative when trading intensity is high; the hot potato view holds that trades are more informative when...
We investigate the information contained in foreign exchange (FX) volume using a novel dataset from ...
Does speculation facilitate price discovery or instability? If it is price discovery, it is benefici...
This article critically investigates the possibility that private information offering systematic pr...
This paper studies whether there exists private information in the foreign exchange market, and whet...
Financial markets generally, and the spot foreign exchange market in particular, are reputed to be e...
This article examines the implications of the existence of private information in the spot for-eign ...
This paper investigates the role of abnormal trading volume on the Italian equity market as revealin...
This paper investigates the way in which abnormal trading volume reveals new information to market p...
© 2014 Elsevier Inc.All rights reserved. We assess investors' reaction to new information arrivals i...
This paper introduces a three-part transactions dataset to test various microstructural hypotheses a...
Spot foreign exchange market today is the most volatile and liquid of all financial markets in the w...
In analyses of the relationship between information and price-volume reactions, the role of investor...
This thesis addresses the relation between trading volume and various information variables. The fir...
Asymmetric information models predict comovements among trade characteristics such as returns, bid-a...
The relationship between trading volume and volatility in foreign exchange markets continues to be o...
We investigate the information contained in foreign exchange (FX) volume using a novel dataset from ...
Does speculation facilitate price discovery or instability? If it is price discovery, it is benefici...
This article critically investigates the possibility that private information offering systematic pr...
This paper studies whether there exists private information in the foreign exchange market, and whet...
Financial markets generally, and the spot foreign exchange market in particular, are reputed to be e...
This article examines the implications of the existence of private information in the spot for-eign ...
This paper investigates the role of abnormal trading volume on the Italian equity market as revealin...
This paper investigates the way in which abnormal trading volume reveals new information to market p...
© 2014 Elsevier Inc.All rights reserved. We assess investors' reaction to new information arrivals i...
This paper introduces a three-part transactions dataset to test various microstructural hypotheses a...
Spot foreign exchange market today is the most volatile and liquid of all financial markets in the w...
In analyses of the relationship between information and price-volume reactions, the role of investor...
This thesis addresses the relation between trading volume and various information variables. The fir...
Asymmetric information models predict comovements among trade characteristics such as returns, bid-a...
The relationship between trading volume and volatility in foreign exchange markets continues to be o...
We investigate the information contained in foreign exchange (FX) volume using a novel dataset from ...
Does speculation facilitate price discovery or instability? If it is price discovery, it is benefici...
This article critically investigates the possibility that private information offering systematic pr...