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A study on foreign exchange dealers' bid–ask spread quote behavior

✍ Scribed by Mingshu Hua

Book ID
116816882
Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
282 KB
Volume
17
Category
Article
ISSN
0927-538X

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The determinants of bid-ask spreads in the foreign exchange futures market: A microstructure analysis
✍ Ding, David K. 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 232 KB 👁 2 views

This paper investigates and analyzes the intraday and daily determinants of bid-ask spreads (BASs) in the foreign exchange futures (FXF) market. It is found that the number of transactions and the volatility of FXF prices are the major determinants. The number of transactions is negatively related t