| Table of contents | Page |
| List of workshop participants | iii |
| Session I - Stock markets
|
|
| Overview: market structure issues in market liquidity:
Maureen O'Hara (Cornell University) |
1 |
| Events that shook the market:
Ray C Fair (Yale University) |
9 |
|
Comments:
Eloy Lindeijer (De Nederlandsche Bank) |
25 |
| Giuseppe Grande (Banca d'Italia) | 27 |
| Information flows during the Asian crisis: evidence from
closed-end funds:
Benjamin H Cohen and Eli M Remolona (Bank for International Settlements) |
30 |
|
Comments:
Tatsuya Yonetani (Bank of Japan) |
71 |
| Torben G Andersen (Northwestern University) | 73 |
| Session II - Bond markets
|
|
| Estimating liquidity premia in the Spanish Government
securities market:
Francisco Alonso, Roberto Blanco, Ana del Río and Alicia Sanchís (Banco de España) |
79 |
|
Comments:
Christian Upper (Deutsche Bundesbank) |
108 |
| Oreste Tristani (European Central Bank) | 110 |
| Does market transparency matter? A case study:
Antonio Scalia and Valerio Vacca (Banca d'Italia) |
113 |
|
Comments:
Agnes Van den Berge (Banque Nationale de Belgique) |
141 |
| Peter Rappoport (JP Morgan) | 143 |
| Special session - Panel discussion
|
|
| Short introduction on the work of the Johnson group:
Eloy Lindeijer (De Nederlandsche Bank) |
147 |
| Market liquidity under stress: observations from the FX
market:
Francis Breedon (Lehman Brothers) |
149 |
| The puzzling decline in financial market liquidity:
Avinash Persaud (State Street) |
152 |
| Measuring liquidity under stress:
Christian Upper (Deutsche Bundesbank) |
159 |
| Session III - Foreign exchange markets
|
|
| Order flow and exchange rate dynamics:
Martin D D Evans (Georgetown) and Richard K Lyons (University of California, Berkley) |
165 |
|
Comments:
Eric Jondeau (Banque de France) |
192 |
| Robert N McCauley (Bank for International Settlements) | 194 |
| Trading volumes, volatility and spreads in FX markets:
evidence from emerging market countries:
Gabriele Galati (Bank for International Settlements) |
197 |
|
Comments:
Javiera Ragnartz (Sveriges Riksbank) |
226 |
| Alain Chaboud (Federal Reserve System) | 229 |
| Other papers
|
|
| Sending the herd off the cliff edge: the disturbing
interaction between herding and market-sensitive risk management practices:
Avinash Persaud (State Street) |
233 |
| How safe was the "Safe Haven"? Financial market liquidity
during the 1998 turbulences:
Christian Upper (Deutsche Bundesbank) |
241 |
| FX impact of cross-border M & A:
Francis Breedon and Francesca Fornasari (Lehman Brothers) |
267 |
