1,721,014 research outputs found
Private information, bid-ask spreads and return volatility in the foreign exchange market
No full textTrading volume and order flow have both been closely associated with informedtrader activity in the market microstructure literature. Using theory that explainsregular intraday patterns in trading data, we transform these variables into proxies forprivate information and examine their relationships with bid-ask spreads and returnvolatility. We use a unique and unusually rich high-frequency intraday dataset fromthe world’s largest financial market, namely, the electronic inter-dealer spot foreignexchange market. Our analysis takes account of institutional features peculiar to thisorder-driven market. Our empirical results strongly affirm our theoreticalunderstanding of how these markets work. They also reveal how the structure of theinter-dealer spot FX market affects exchange rate volatility
The role of private information in return volatility and bid-ask spreads in the foreign exchange market
No full textMicrostructure effects, bid-ask spreads and volatility in the spot foreign exchange market pre and post-EMU
No full textPrice aggressiveness and quantity: how are they determined in a limit order market? by Ingrid Lo and Stephen Sapp
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