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Price discovery in the foreign exchange futures market

✍ Scribed by Yiuman Tse; Ju Xiang; Joseph K. W. Fung

Publisher
John Wiley and Sons
Year
2006
Tongue
English
Weight
136 KB
Volume
26
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

✦ Synopsis

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; the on-line trading spot market provides the most in the Japanese yen. The floor-traded futures markets contribute the least to price discovery in both the euro and the Japanese yen markets. The overall results show that electronic trading platforms facilitate price discovery more efficiently than floor trading. Futures traders may also extract information from on-line spot prices.

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