Suggested Reading

Joel Hasbrouck interview [back to Hasbrouck Interview]
Available at www.stern.nyu.edu/~jhasbrou.

Jorge Villion interview [back to Villon Interview]
(Not available at this time.)

Martin Wiedmann interview [back to Wiedmann Interview]
(Not available at this time.)

Claudio Borio interview [back to Borio Interview]

Albanesi, Stefania and Barbara Rindi, Northwestern University and Bocconi University: "The quality of the Italian treasury bond market, asymmetric information and transaction costs" (email: s-albanesi@nwu.edu or barbara.rindi@uni-bocconi.it).

Bank for International Settlements (April 2000): "Stress Testing by Large Financial Institutions: Current Practice and Aggregation Issues" Report No. 14 by the Committee on the Global Financial System.

Bank for International Settlements (October 1999): "How should we design deep and liquid markets? The case of government securities" Report No. 13 by the Committee on the Global Financial System.

Bank for International Settlements (October 1999): "A Review of Financial Market Events in Autumn 1998" Report No. 12 by the Committee on the Global Financial System.

Bank for International Settlements (May 1999): "Market Liquidity: Research Findings and Selected Policy Implications" Report No. 11 by the Committee on the Global Financial System.

Bank for International Settlements (March 1999): "Implications of repo markets for central banks" Report No. 10 by the Committee on the Global Financial System.

Bank for International Settlements (1999b): Triennial Survey of Foreign Exchange and Derivatives Market Activity.

Bank for International Settlements (September 1998): "OTC Derivatives: Settlement Procedures and Counterparty Risk Management" Report No. 8 Jointly by the Committee on Payment and Settlement Systems and the Euro-currency Standing Committee.

Batten and Bhar (1993): "Volume and volatility in yen futures markets: Within and across three different exchanges" Macquarie University Working Paper.

Bennett, Paul, Kenneth Garbade and John Kambhu: "Enhancing the Liquidity of US Treasury Securities in an Era of Surpluses" FRBNY Economic Policy Review, April 2000 (http://www.ny.frb.org/rmaghome/).

Bessembinder, Hendrik (1994): "Bid-Ask Spreads in the Interbank Foreign Exchange Markets" Journal Financial Economics, 35(3), 317-348.

Bollerslev, T, and I Domowitz (1993): "Trading patterns and prices in the interbank foreign exchange market" Journal of Finance, 48, 1421-43.

Bollerslev, Tim and Michael Melvin (1994): "Bid-ask spreads and volatility in the foreign exchange market: an empirical analysis" Journal of International Economics, 36, 355-372.

Chakravarty, Sugato1 and Asani Sarkar2, 1Purdue University and 2Federal Reserve Bank of New York: "The Determinants of Liquidity in US Corporate, Municipal and Treasury Bond Markets" (email: sugato@purdue.edu or asani.sarkar@ny.frb.org).

Cheung, Yin-Wong and Menzie Chinn (1999): "Traders, market microstructure and exchange rate dynamics" NBER Working Paper 7416, November.

Clare, Andrew, Mark Johnson, James Proudman and Victoria Saporta, Bank of England: "The impact of UK macroeconomic announcements on the market for gilts" (http://www.bis.org/publ/cgfs11.htm) -- Research paper of the report by the Committee on the Global Financial System: "Market Liquidity: Research Findings and Selected Policy Implications".

Clark, P K (1973): "A subordinated stochastic process model with finite variance for speculative prices" Econometrica, 41, 135-155.

Copeland (1976): "A model of asset trading under the assumption of sequential information arrival" Journal of Finance, 31, 1149-1168.

Copeland (1977): "A probability model of asset trading", Journal of Financial and Quantitative Analysis, 12, 563-578.

Copeland and Galai (1983): "Information Effects on the Bid-Ask Spread" Journal of Finance, 31 (December), 1457-1469.

Cornell, B (1978): "Determinants of the bid-ask spread on forward foreign exchange contracts under floating exchange rates" Journal of International Business Studies, 9, 33-41.

Cornell, B (1981): "The relationship between volume and price variability in futures markets" The Journal of Futures Markets, 1, 303-316.

Dumas, Bernard (1996): "Comment on Jorion" in Frankel, Galli and Giovannini (1996): The Microstructure of Foreign Exchange Markets, University of Chicago Press, Chicago, 37-40.

Easley, David, Soeren Hvidkjaer and Maureen O'Hara, Cornell University: "Is Information Risk a Determinant of Asset Returns?" (email: mo19@cornell.edu).

Easley, David and Maureen O'Hara (1994): "Time and the Process of Security Adjustment" Journal of Finance, 47 (2), 577-605.

Epps, T W (1975): "Security price changes and transaction volumes: theory and evidence", American Economic Review, 65, 586-597.

Epps, T W (1977): "Security price changes and transaction volumes: some additional evidence", Journal of Financial and Quantitative Analysis, 12, 141-146.

Evans, Martin and Richard Lyons (1999) "Order flows and exchange rates dynamics" mimeo.

Fleming, Michael J1 and Eli Remolona2, 1Federal Reserve Bank of New York and 2Bank for International Settlements: "What moves bond prices? ? Largely public information about the economy" The Journal of Portfolio Management, Vol 25, No 4, Summer 1999 (email: eli.remolona@bis.org).

Fleming, Michael J1 and Eli Remolona2, 1Federal Reserve Bank of New York and 2Bank for International Settlements: "Price Formation and Liquidity in the US Treasury Market: The Response to Public Information" The Journal of Finance, Vol LIV, No 5, October 1999 (email: eli.remolona@bis.org).

Fleming, Michael J and Asani Sarkar, Federal Reserve Bank of New York: "Liquidity in US Treasury spot and futures markets" (email: michael.fleming@ny.frb.org or asani.sarkar@ny.frb.org or http://www.bis.org/publ/cgfs11.htm) -- Research paper of the report by the Committee on the Global Financial System: "Market Liquidity: Research Findings and Selected Policy Implications".

Gravelle, Toni, Financial Markets Department, Bank of Canada: "Liquidity of the government of Canada securities market: stylised facts and some market microstructure comparisons to the United States treasury market" (email: tgravelle@bank.banque-canada.ca or http://www.bis.org/publ/ cgfs11.htm) -- Research paper of the report by the Committee on the Global Financial System: "Market Liquidity: Research Findings and Selected Policy Implications".

Frankel, Jeffrey and Andrew Rose (1995): "Empirical Research on Nominal Exchange Rates" in Handbook of International Economics, Vol.2, pp.1689-1721.

Galati, Gabriele (2000): "Volumes, volatility and spreads in FX markets: Evidence from emerging market countries" BIS Working Paper (forthcoming)

Glassman, Debra (1987): "Exchange Rate Risk and Transaction Costs: Evidence from Bid-Ask Spreads" Journal of International Money and Finance, 6(4), 479-490.

Goodhart, C and L Figliuoli (1991): "Every minute counts in financial markets" Journal of International Money and Finance, 10, 23-52.

Goodhart, C, T Ito and R Payne (1996): "One day in June 1993: A study of the working of the Reuters 2000-2 electronic foreign exchange trading system" in Frankel, Galli and Giovannini (1996): The Microstructure of Foreign Exchange Markets, University of Chicago Press, Chicago, 107-179.

Grammatikos, T and A Saunders (1986): "Futures price variability: a test of maturity and volume effects" Journal of Business, 59, 319-330.

Harris, L (1986): "Cross-security tests of the mixture of distributions hypothesis", Journal of Financial and Quantitative Analysis, 21, 39-46.

Hartmann, Philipp (1998a): "Do Reuters spreads reflect currencies' differences in global trading activity" in Currency composition and foreign exchange markets. Cambridge University Press, 132-162

Hartmann Philipp (1998b): "Trading volumes and transaction costs: from the short run to the long run" in Currency composition and foreign exchange markets. Cambridge University Press.

Hartmann Philipp (1999): "Trading Volumes and Transaction Costs in the Foreign Exchange Market" Journal of Banking and Finance, 23, 801-824.

Hotchkiss, Edith S1 and Tavy Ronen 2, 1Boston College and 2Rutgers University: "The Informational Efficiency of the Corporate Bond Market: An Intraday Analysis" (email: hotchkis@bc.edu or tronen@andromeda.rutgers.edu).

Huang, R D, and R W Maculis (1999): "FX spreads and dealer competition across the 24-hour trading day" Review of Financial Studies, 12, 61-93.

Inoue, Hirotaka, Financial Markets Department, Bank of Japan: "The Stylised Facts of Price Discovery Processes in Government Securities Markets: A Comparative Study" (email: hirotaka.inoue@boj.or.jp).

James, C and R O Edminster (1983) "The relation between common stock returns trading activity and market value" Journal of Finance, 38, 1075-1086.

Jorion, Philippe (1996): "Risk and Turnover in the Foreign Exchange Market" in Frankel, Galli and Giovannini (1996): The Microstructure of Foreign Exchange Markets, University of Chicago Press, Chicago, 19-36.

O'Hara, Maureen (1995): Market microstructure theory, Cambridge, Blackwell.

Karpoff Jonathan (1987): "The Relation Between Price Changes and Trading Volume: A Survey" Journal of Financial and Quantitative Analysis, 22(1), 109-126.

Lyons, Richard (1995): "Test of microstructural hypotheses in the foreign exchange market" Journal of Financial Economics 39, 321-351.

Lyons, Richard (1996): "Foreign exchange volume: sound and fury signifying nothing?" in Frankel, Galli and Giovannini (1996): The Microstructure of Foreign Exchange Markets, University of Chicago Press, Chicago, 183-201.

Lyons, Richard (2000): The Microstructure Approach to Exchange Rates, MIT Press, forthcoming.

McCauley, Robert N, Bank for International Settlements Asian Office: "The euro and the liquidity of European fixed income markets" (email: Robert.McCauley@bis.org).

Miyanoya, Atsushi, Financial Markets Department, Bank of Japan: "Price Discovery Functions in Japan's Corporate Bond Market: An Event Study of the Recent Fall 1997 Financial Crisis" (email: atsushi.miyanoya@boj.or.jp).

Remolona, Eli, Bank for International Settlements: "The rise of corporate credit benchmarks" BIS Quarterly Review, November 1999.

Richardson, G, S E Sefcik and R Thomson (1987): "A test of dividend irrelevance using volume reaction to a change in dividend policy" Journal of Financial Economics, 17, 313-333.

Rogalski, R J, (1978): "The dependence of prices and volume" The Review of Economics and Statistics, 36, 268-274.

Scalia, Antonio and Valerio Vacca, Banca d'Italia: "Does market transparency matter? A case study" (http://www.bis.org/publ/cgfs11.htm) -- Research paper of the report by the Committee on the Global Financial System, "Market Liquidity: Research Findings and Selected Policy Implications".

Shang-Jin Wei (1994): "Anticipations of foreign exchange volatility and bid-ask spreads" NBER Working Paper No 4737.

Tauchen, G and M Pitts (1983) "The price-variability volume relationship on speculative markets", Econometrica, 51 (March), 485-505.

Wood, R A et al (1985): "An investigation of transactions data for NYSE stocks" Journal of Finance, 60 (July), 723-739.

US General Accounting Office's report September 1999: "Federal Debt --Debt Management in a Period of Budget Surplus" (GAO/AI MD-99-270) (http://www.gao.gov/audit.htm).