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An empirical examination of heterogeneity and switching in foreign exchange markets

✍ Scribed by Goldbaum, David; Zwinkels, Remco C.J.

Book ID: 122957561
Publisher: Elsevier Science
Year: 2014
Tongue: English
Weight: 720 KB
Volume: 107
Category: Article
ISSN: 0167-2681
DOI: 10.1016/j.jebo.2013.08.004

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## Abstract This article empirically examines the relationship between order sizes and spreads in the foreign exchange (FX) market based on a FX dealer's quotes. It is found that spreads are independent of order sizes in the inter‐dealer market, but they are negatively correlated in the customer ma