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

24

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Top 2,368

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236

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Scholarly Papers (24)

1.
Downloads 884 ( 25,392)

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 Barclays - Barclays Global Investors (London)
Downloads 878 (25,224)

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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 6 (622,366)
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Financial crisis, foreign exchange market

2.

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 834 (27,580)

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

3.

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 510 (53,029)

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4.

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 498 (54,625)

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carry trade, financial risk, duration, active portfolio management

5.

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 466 (59,428)

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

6.

'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 431 (65,335)

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7.

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 387 (74,315)

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Financial crisis, Argentina, ADRs

8.

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 371 (78,018)

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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 309 (95,974)

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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 246 (122,085)

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11.

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 231 (130,101)

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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 226 (132,936)

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13.

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 212 (141,349)

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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 Goethe University Frankfurt - Department of Finance
Downloads 108 (248,675)

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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 Goethe University Frankfurt - Department of Finance
Downloads 96 (269,753)

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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 184 (161,100)

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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 (645,638)
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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 132 (213,185)

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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 82 (295,628)

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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 Last Revised: 16 Mar 2010
Takatoshi Ito and Michael Melvin
University of Tokyo - Faculty of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 45 (398,808)

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

NBER Working Paper No. w5936
Number of pages: 29 Posted: 20 Sep 2000 Last Revised: 05 Oct 2010
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 35 (447,334)

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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

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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 13 (553,183)

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

21.

Future of Global Investing: What is Old, What is New, and China's Role

Pacific Economic Review, Vol. 23, Issue 2, pp. 184-192, 2018
Number of pages: 9 Posted: 11 May 2018
Michael Melvin
University of California, San Diego (UCSD) - Rady School of Management
Downloads 1 (639,245)
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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 1 (639,245)
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23.

Active Currency Investing and Performance Benchmarks

CESifo Working Paper Series No. 3052, https://doi.org/10.3905/jpm.2011.37.2.046
Posted: 21 May 2019
Michael Melvin and Duncan D. Shand
University of California, San Diego (UCSD) - Rady School of Management and BlackRock, Inc

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

24.

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

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