Výsledky vyhledávání - "Yin Feng Gau"

Liquidity spillover in foreign exchange markets

Autor: Yin Feng Gau, Ya Ting Chang, Chih Chiang Hsu

Publikováno v: Finance Research Letters. 44:102105

We use an index of spillover based on the generalized variance decomposition developed by Diebold and Yilmaz (2009, 2012) to measure the spillover in liquidity in currency markets between 2008 and 2015. The results show that the liquidity spillovers

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::0306f1698b7777e15b65cd22e6830ef7
https://doi.org/10.1016/j.frl.2021.102105

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Macroeconomic announcements and price discovery in the foreign exchange market

Autor: Zhen-Xing Wu, Yin Feng Gau

Publikováno v: Journal of International Money and Finance. 79:232-254

This study shows that the dominance of the overlapping trading hours of London and New York in the price discovery of the EUR/USD and USD/JPY markets only applies on days with U.S. announcements. Different from Cai et al. (2008) and Wang and Yang (20

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4ff31c9e55bc4d619f8b598a380e30e2
https://doi.org/10.1016/j.jimonfin.2017.08.006

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Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements

Autor: Ya Ting Chang, Yin Feng Gau, Chih Chiang Hsu

Publikováno v: The North American Journal of Economics and Finance. 42:172-192

Noting the time-varying dynamics in liquidity, we use a generalized dynamic factor model (GDFM) to identify market-wide liquidity across foreign exchange (FX) markets. Liquidity commonality across currencies increases during the 2008–2009 global fi

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::a8fb5334f5939ba3e58377518ab5df60
https://doi.org/10.1016/j.najef.2017.06.004

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Foreign exchange market intervention and price discovery

Autor: Yin Feng Gau, Yu Lun Chen

Publikováno v: Journal of the Japanese and International Economies. 38:214-227

This paper studies the role of foreign exchange market intervention in the price discovery process of the USD–JPY market. Using the tick-by-tick bid and ask quotes from the Electronic Broking Services (EBS), we find that Japanese official intervent

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::92feb9d80c0d86778c0ff37183dbec3a
https://doi.org/10.1016/j.jjie.2015.09.001

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Trading activities and price discovery in foreign currency futures markets

Autor: Yu Lun Chen, Yin Feng Gau, Wen Ju Liao

Publikováno v: Review of Quantitative Finance and Accounting. 46:793-818

This study investigates the relation between trading activities and the price discovery efficacy of the futures markets for EUR–USD and JPY–USD. According to data pertaining to weekly positions, collected from the Commitments of Traders reports d

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::4f3ea5b103f30b8b287d2dbe0cdf169b
https://doi.org/10.1007/s11156-014-0486-9

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Order choices under information asymmetry in foreign exchange markets

Autor: Zhen-Xing Wu, Yin Feng Gau

Publikováno v: Journal of International Financial Markets, Institutions and Money. 30:106-118

This article investigates the information content in orders submitted to the Electronic Broking Services (EBS) spot foreign exchange broking system. Using intradaily data pertaining to orders for the two most liquid currency pairs, EUR–USD and USD�

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::f0232619b802dec75edd7ea18a92bb8e
https://doi.org/10.1016/j.intfin.2014.01.008

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