Market Microstructure of the Foreign Exchange Markets: Evidence from the Electronic Broking System

Yuko Hashimoto and Takatoshi Ito

Chapter 3 in Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures, 2011, pp 66-91 from Palgrave Macmillan

Abstract: Abstract Availability of high-frequency exchange rate data for researchers has improved technical details and statistical accuracy of exchange rate research in recent years. Based on an event-study analysis and time series methodology, this chapter shows the intraday pattern of dollar/yen transaction activities, predictability of exchange rate movements and impact of macroeconomic news announcements on returns in minute(s) after the announcement.

Keywords: Exchange Rate; Foreign Exchange; Foreign Exchange Market; Deal Price; News Release (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-0-230-29810-1_3

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DOI: 10.1057/9780230298101_3

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