The determinants of bid-ask spreads in t
โ
Ding, David K.
๐
Article
๐
1999
๐
John Wiley and Sons
๐
English
โ 232 KB
๐ 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