Time-Varying Liquidity in Foreign Exchange

By Martin D. D. Evans, Richard K. Lyons. 2002

113 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/365e0c319f8ae2470aeaa77c130e437665e94e87

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In Economics and Econometrics

1. Timothy C. Johnson

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1. Timothy C. Johnson
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Citations in the corpus

• Volume, liquidity, and liquidity risk (2008, background): “Evans and Lyons (2002) and Galati (2000) find no association between liquidity and level of activity on the foreign exchange market, while Danielsson and Payne (2002) find a negative relationship.”
• When do central bank interventions influence intra-daily and longer-term exchange rate movements? (2006, unknown): “DeGennaro and Shrieves ( 1997 ) , Evans and Lyons ( 2002b ) and Bauwens et al .”
• Exchange Rate, Equity Prices and Capital Flows (2006, unknown): “Evans and Lyons (2002a, 2002b, 2002c, 2003), Hau, Killeen, and Moore (2002), Killeen, Lyons, and Moore (2006), Lyons (2001), and Rime (2001) show that order flow from electronic trading systems has remarkably high correlation with contemporaneous exchange rate changes.”
• ORDER FLOW AND EXCHANGE RATE DYNAMICS: AN APPLICATION TO EMERGING MARKETS (2010, unknown): “Once modified to take into account market inefficiencies, the (long-run) relationship between the black and official rates, and decomposing flows into expected and unexpected components we find more positive results from the application of Evans and Lyons’ (2002a) model.”