search query: @author Lyons, R. K. / total: 3
reference: 2 / 3
| Author: | Evans, M. D. D. Lyons, R. K. |
| Title: | Informational integration and FX trading |
| Journal: | Journal of International Money and Finance
2002 : NOV, VOL. 21:6, p. 807-831 |
| Index terms: | Exchange rates Economic integration Currency markets Monetary integration Monetary policy |
| Language: | eng |
| Abstract: | The authors develop a multi-currency model of portfolio allocation in the presence of dispersed information. They then test the model's implications using four months of concurrent transaction data on nine currencies. The model explains 45 to 78% of daily returns in all nine examined currencies. |
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