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

✍ Scribed by Liang Ding

Publisher: John Wiley and Sons
Year: 2009
Tongue: English
Weight: 108 KB
Volume: 14
Category: Article
ISSN: 1076-9307
DOI: 10.1002/ijfe.365

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✦ Synopsis

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 market. Copyright © 2008 John Wiley & Sons, Ltd.

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