Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 21, 2011 erstellt
Beschreibung:
This paper examines the impact of central bank intervention operation on the price discovery of ask and bid quotes in an electronic limit order market of USD-JPY. Based on both methods of Hasbrouck (1995) and Gonzalo and Granger (1995), we find bid quotes provide more price discovery in the USD-JPY trading via the platform of the Electronic Broking Services (EBS). Our results also show that, when the Bank of Japan intervenes, the information share of ask quotes rises relative to that of bid quotes, implying a stronger asymmetry in trading costs between buyers and sellers