Asymmetric responses of ask and bid quotes to information in the foreign exchange market
β Scribed by Chen, Yu-Lun; Gau, Yin-Feng
- Book ID
- 121460323
- Publisher
- Elsevier Science
- Year
- 2014
- Tongue
- English
- Weight
- 430 KB
- Volume
- 38
- Category
- Article
- ISSN
- 0378-4266
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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 interβdealer market, but they are negatively correlated in the customer ma
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