✦ LIBER ✦

Bid-ask bounce and speads in the foreign exchange futures market

✍ Scribed by Quentin C. Chu; David K. Ding; C. S. Pyun

Publisher: Springer US
Year: 1996
Tongue: English
Weight: 905 KB
Volume: 6
Category: Article
ISSN: 0924-865X
DOI: 10.1007/bf00290794

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

The determinants of bid-ask spreads in t

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

Bid–ask spread and order size in the for

Bid–ask spread and order size in the foreign exchange market: an empirical investigation

✍ Liang Ding 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 108 KB

## 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

Price discovery in the foreign exchange

Price discovery in the foreign exchange futures market

✍ Yiuman Tse; Ju Xiang; Joseph K. W. Fung 📂 Article 📅 2006 🏛 John Wiley and Sons 🌐 English ⚖ 136 KB 👁 1 views

Examination is made of the relative contributions to price discovery of the floor and electronically traded euro FX and Japanese yen futures markets and the corresponding retail on-line foreign exchange spot markets. GLOBEX electronic futures contracts provide the most price discovery in the euro; t

Trading volume, bid–ask spread, and pric

Trading volume, bid–ask spread, and price volatility in futures markets

✍ George H. K. Wang; Jot Yau 📂 Article 📅 2000 🏛 John Wiley and Sons 🌐 English ⚖ 149 KB 👁 2 views

The currency futures market and interban

The currency futures market and interbank foreign exchange trading

✍ Eric V. Clifton 📂 Article 📅 1985 🏛 John Wiley and Sons 🌐 English ⚖ 656 KB

he 1970s were a period of rapid change and innovation in foreign exchange T trading. There was the shift from fixed to floating exchange rates. There was a rapid increase in professional foreign exchange trading in the United States. And, there was the introduction of trading in foreign currency fut

Intraday volatility in the bond, foreign

Intraday volatility in the bond, foreign exchange, and stock index futures markets

✍ Valeria Martinez; Yiuman Tse 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 359 KB 👁 1 views

## Abstract Intraday volatility for the Eurodollar, the Euro/dollar foreign exchange rate, and the E‐mini S&P 500 futures contracts traded on a continuous 23‐hour schedule on the Chicago Mercantile Exchange Globex electronic platform is studied. Volatility transmission in a single market across dif