The Foreign Exchange Market : Empirical Studies with High-frequency Data (Hardcover)

Acknowledgements Notes on the Contributors Introduction PART I: ANALYSIS OF FOREIGN EXCHANGE RATE The Foreign Exchange Market: A Random Walk with a Dragging Anchor Does the Forward Premium/Discount Help to Predict the Future Change in the Exchange Rate?; P.McMahon & Y.Ngama Why Does the Spot-Forward Discount Fail to Predict Changes in Future Spot Rates?; P.McMahon & Y.Ngama PART II: DESCRIPTION OF THE INTRA-DAY FOREIGN EXCHANGE MARKET 'Reuters' Screen Images of the Foreign Exchange Market: The Yen/Dollar and Sterling/Dollar Spot Market; A.Demos 'News' and the Foreign Exchange Market PART III: MEASUREMENT OF MARKET MOVEMENTS USING INTRA-DAY EXCHANGE RATE DATA From Hour to Hour in the Foreign Exchange Market; M.Guigale Some Evidence on Daily Trading in the London Foreign Exchange Market; M.Giugale Every Minute Counts in Financial Markets; L.Figiuoli The Geographical Location of the Foreign Exchange Market: A Test of an 'Islands' Hypothesis; L.Figiuoli News Effects in a High-frequency Model of the Sterling/Dollar Exchange Rate; S.Hall, S.Henry & B.Pesaran Central Bank Forex Intervention Assessed in Continuous Time; T.Hesse Testing for Unit-roots with Very High-Frequency Spot Exchange Rate Data; P.McMahon & Y.Ngama The Interaction Between the Frequency of Market Quotations, Spreads and Volatility in the Foreign Exchange Market; A.Demos PART IV: TECHNICAL ANALYSIS Chartism: A Controlled Experiment; R.Curcio Do Technical Trading Rules Generate Profits? Evidence from the Intra-Day Foreign Exchange Market; R.Curcio, D.Guillaume & R.Payne PART V: INTRA-DAY EXCHANGE RATE MOVEMENTS AND TRANSACTIONS DATA One Day in June 1993: A Study of the Working of Reuters 2000-2 Electronic Foreign Exchange Trading System; R.Payne & T.Ito Microstructural Dynamics in a Foreign Exchange Electronic Broking System; R.Payne PART VI: WHERE WE STAND High-Frequency Data in Financial Market: Issues and Applications; M.O'Hara Conclusions and Directions for Future Research Index