Michael Melvin

University of California, San Diego (UCSD) - Rady School of Management

9500 Gilman Drive

Rady School of Management

La Jolla, CA 92093

United States

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5

Munich, DE-81679

Germany

SCHOLARLY PAPERS

23

DOWNLOADS
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CITATIONS
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Top 2,358

in Total Papers Citations

237

Scholarly Papers (23)

1.
Downloads 779 ( 23,461)
Citation 26

The Crisis in the Foreign Exchange Market

CESifo Working Paper Series No. 2707
Number of pages: 40 Posted: 22 Jul 2009
Michael Melvin and Mark P. Taylor
University of California, San Diego (UCSD) - Rady School of Management and University of Warwick - Department of Economics
Downloads 774 (23,288)
Citation 26

Abstract:

financial crisis, foreign exchange, exchange rates, transaction costs

The Crisis in the Foreign Exchange Market

CEPR Discussion Paper No. DP7472
Number of pages: 38 Posted: 07 Oct 2009
Michael Melvin and Mark P. Taylor
University of California, San Diego (UCSD) - Rady School of Management and Barclays - Barclays Global Investors (London)
Downloads 5 (523,332)
Citation 26

Abstract:

Financial crisis, foreign exchange market

2.

Price Discovery in International Equity Trading

AFA 2002 Atlanta Meetings
Number of pages: 31 Posted: 10 May 2001
Joachim Grammig, Christian Schlag and Michael Melvin
Eberhard Karls Universitaet Tübingen, Goethe University Frankfurt - Research Center SAFE and University of California, San Diego (UCSD) - Rady School of Management
Downloads 471 (44,079)
Citation 10

Abstract:

3.

Little Guys, Liquidity, and the Informational Efficiency of Price: Evidence from the Tokyo Stock Exchange on the Effects of Small Investor Participation

AFA 2006 Boston Meetings Paper
Number of pages: 44 Posted: 15 Mar 2005
Hee-Joon Ahn, Jun Cai, Yasushi Hamao and Michael Melvin
SungKyunKwan University, City University of Hong Kong (CityUHK) - Department of Economics & Finance, Center on Japanese Economy and Business and University of California, San Diego (UCSD) - Rady School of Management
Downloads 423 (49,274)
Citation 2

Abstract:

Small investors, noise traders, informed traders, microstructure, Tokyo Stock Exchange, minimum trading unit

4.

'Once-in-a-Generation' Yen Volatility in 1998: Fundamentals, Intervention, and Order Flow

Arizona State University Working Paper No. 99/7
Number of pages: 34 Posted: 24 Feb 2000
City University of Hong Kong (CityUHK) - Department of Economics & Finance, City University of Hong Kong (CityUHK) - Department of Economics & Finance, City University of Hong Kong (CityUHK) and University of California, San Diego (UCSD) - Rady School of Management
Downloads 418 (52,836)
Citation 33

Abstract:

5.

Forecasting Exchange Rates: An Investor Perspective

CESifo Working Paper Series No. 4238
Number of pages: 40 Posted: 22 May 2013
Michael Melvin, John Prins and Duncan D. Shand
University of California, San Diego (UCSD) - Rady School of Management, BlackRock, Inc and BlackRock, Inc
Downloads 413 (36,328)
Citation 1

Abstract:

exchange rate forecasting, forecast evaluation, conditioners, quantitative models, benchmarks

6.

A Stock Market Boom During a Financial Crisis? ADRs and Capital Outflows in Argentina

ASU Department of Economics Working Paper No. 6/2002
Number of pages: 23 Posted: 09 Oct 2002
Michael Melvin
University of California, San Diego (UCSD) - Rady School of Management
Downloads 372 (60,483)
Citation 14

Abstract:

Financial crisis, Argentina, ADRs

7.

The Effects of International Cross-Listing on Rival Firms

AFA 2004 San Diego Meetings
Number of pages: 39 Posted: 01 Dec 2003
Michael Melvin and Magali Valero-Tonone
University of California, San Diego (UCSD) - Rady School of Management and affiliation not provided to SSRN
Downloads 352 (64,302)
Citation 6

Abstract:

8.

Active Currency Investing and Performance Benchmarks

CESifo Working Paper Series No. 3052
Number of pages: 35 Posted: 20 May 2010
Michael Melvin and Duncan D. Shand
University of California, San Diego (UCSD) - Rady School of Management and BlackRock, Inc
Downloads 334 (57,955)
Citation 3

Abstract:

currency investing, performance benchmarks, carry, momentum, purchasing power parity

9.

A Yen is Not a Yen: Tibor/Libor and the Determinants of the 'Japan Premium'

Number of pages: 31 Posted: 05 Nov 2001
Vicentiu Covrig, Buen Sin Low and Michael Melvin
California State University, Northridge - Department of Finance, Financial Planning and Insurance, Nanyang Technological University (NTU) - Division of Banking & Finance and University of California, San Diego (UCSD) - Rady School of Management
Downloads 291 (79,806)
Citation 6

Abstract:

Japan premium, TIBOR, LIBOR, Credit risk, Japanese Bank, credit spread, credit downgrades, credit upgrades, Euroyen

10.

Asymmetric Information and Price Discovery in the FX Market: Does Tokyo Know More About the Yen?

Arizona State University Working Paper No. 98/1
Number of pages: 35 Posted: 19 Feb 1999
Vicentiu Covrig and Michael Melvin
California State University, Northridge - Department of Finance, Financial Planning and Insurance and University of California, San Diego (UCSD) - Rady School of Management
Downloads 237 (100,572)
Citation 24

Abstract:

11.

The Political Economy of Japan?s Big Bang

Arizona State University Working Paper No. 99/8
Number of pages: 31 Posted: 13 Jan 2000
Takatoshi Ito and Michael Melvin
University of Tokyo - Faculty of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 210 (114,007)

Abstract:

12.

The Role of U.S. Trading in Pricing Internationally Cross-Listed Stocks

EFA 2004 Maastricht Meetings Paper No. 3267
Number of pages: 46 Posted: 22 Jul 2004
Joachim Grammig, Christian Schlag and Michael Melvin
Eberhard Karls Universitaet Tübingen, Goethe University Frankfurt - Research Center SAFE and University of California, San Diego (UCSD) - Rady School of Management
Downloads 200 (114,512)
Citation 13

Abstract:

Automating Exchange Rate Target Zones: Intervention Via an Electronic Limit Order Book

CESifo Working Paper Series No. 2221
Number of pages: 48 Posted: 19 Feb 2008
Michael Melvin, Lukas Menkhoff and Maik Schmeling
University of California, San Diego (UCSD) - Rady School of Management, German Institute for Economic Research (DIW Berlin) and City University London - Sir John Cass Business School
Downloads 105 (205,944)
Citation 1

Abstract:

foreign exchange, microstructure, intervention, exchange rate

Exchange Rate Management in Emerging Markets: Intervention via an Electronic Limit Order Book

CESifo Working Paper Series No. 2656
Number of pages: 52 Posted: 27 May 2009
Michael Melvin, Lukas Menkhoff and Maik Schmeling
University of California, San Diego (UCSD) - Rady School of Management, German Institute for Economic Research (DIW Berlin) and City University London - Sir John Cass Business School
Downloads 90 (229,015)
Citation 3

Abstract:

exchange rates, intervention, microstructure

The Dark Side of International Cross-Listing: Effects on Rival Firms at Home

CESifo Working Paper No. 2174
Number of pages: 46 Posted: 07 Jan 2008
Michael Melvin and Magali Valero
University of California, San Diego (UCSD) - Rady School of Management and University of MIchigan at Dearborn
Downloads 177 (134,447)
Citation 4

Abstract:

cross-listings, rival firms, growth opportunities

The Dark Side of International Cross-Listing: Effects on Rival Firms at Home

European Financial Management, Vol. 15, No. 1, pp. 66-91, January 2009
Number of pages: 26 Posted: 02 Jan 2009
Michael Melvin and Magali Valero
University of California, San Diego (UCSD) - Rady School of Management and University of MIchigan at Dearborn
Downloads 3 (533,516)
Citation 4

Abstract:

15.

Why Has FX Trading Surged? Explaining the 2004 Triennial Survey

BIS Quarterly Review, December 2004
Number of pages: 8 Posted: 15 May 2012 Last Revised: 29 Sep 2013
Gabriele Galati and Michael Melvin
De Nederlandsche Bank and University of California, San Diego (UCSD) - Rady School of Management
Downloads 129 (140,892)
Citation 20

Abstract:

16.

Bank of England Interest Rate Announcements and the Foreign Exchange Market

CESifo Working Paper Series No. 2613
Number of pages: 60 Posted: 20 Apr 2009
University of California, San Diego (UCSD) - Rady School of Management, University of Warwick, affiliation not provided to SSRN and Barclays - Barclays Global Investors (London)
Downloads 112 (184,442)

Abstract:

foreign exchange market, microstructure, monetary policy announcements, Markov switching, endogenous probabilities

17.

Information, the Type of Informed Trader, and the Convergence of Price to Equilibrium

Number of pages: 44 Posted: 08 Mar 2006
Michael Melvin and James E. Eaves
University of California, San Diego (UCSD) - Rady School of Management and University of California, Davis
Downloads 75 (248,191)

Abstract:

microstructure, price discovery, private information, auctions

18.

Japan's Big Bang and the Transformation of Financial Markets

NBER Working Paper No. w7247
Number of pages: 27 Posted: 28 Apr 2000
Takatoshi Ito and Michael Melvin
University of Tokyo - Faculty of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 39 (335,979)
Citation 3

Abstract:

Is There Private Information in the FX Market? The Tokyo Experiment

NBER Working Paper No. w5936
Number of pages: 29 Posted: 20 Sep 2000
Takatoshi Ito, Richard K. Lyons and Michael Melvin
University of Tokyo - Faculty of Economics, University of California, Berkeley and University of California, San Diego (UCSD) - Rady School of Management
Downloads 30 (388,003)
Citation 68

Abstract:

Is There Private Information in the FX Market? The Tokyo Experiment

JOURNAL OF FINANCE
Posted: 11 Sep 1997
Richard K. Lyons, Takatoshi Ito and Michael Melvin
University of California, Berkeley, University of Tokyo - Faculty of Economics and University of California, San Diego (UCSD) - Rady School of Management

Abstract:

20.

Information, Announcement, and Listing Effects of ADR Programs and German-U.S. Stock Market Integration

Multinational Finance Journal, Vol. 4, No. 3/4, p. 181-200, 2000
Number of pages: 20 Posted: 08 Jul 2015
Michael G. Hertzel, Paul Lowengrub and Michael Melvin
Arizona State University (ASU) - Finance Department, Nathan Associates and University of California, San Diego (UCSD) - Rady School of Management
Downloads 6 (480,992)
Citation 1

Abstract:

ADRs, international cross-listing, international equity markets, German stocks

21.

When Carry Goes Bad: The Magnitude, Causes, and Duration of Currency Carry Unwinds

CESifo Working Paper Series No. 6210
Number of pages: 54 Posted: 12 Jan 2017
Michael Melvin and Duncan D. Shand
University of California, San Diego (UCSD) - Rady School of Management and BlackRock, Inc
Downloads 0 (183,293)

Abstract:

carry trade, financial risk, duration, active portfolio management

22.

Global Investment Environment of the Post‐Quantitative Easing World: The ‘New‐Old’ and ‘New‐New’ Normal

Pacific Economic Review, Vol. 21, Issue 3, pp. 255-275, 2016
Number of pages: 21 Posted: 22 Aug 2016
Michael Melvin
University of California, San Diego (UCSD) - Rady School of Management
Downloads 0 (531,865)

Abstract:

23.

Public Information Arrival, Exchange Rate Volatility, and Quote Frequency

The Economic Journal, Vol. 110, Issue 465, July 2000
Posted: 01 Oct 2000
Michael Melvin and Xixi Yin
University of California, San Diego (UCSD) - Rady School of Management and American Express Company

Abstract: