Analysis of Singapore's Foreign Exchange Market Microstructure
This paper analyses the Singapore foreign exchange market from a microstructure approach. Specifically, by applying and modifying the empirical methodology designed by Bollerslev and Melvin (1994), we examine the relationship between bid-ask spreads and the underlying volatility of the USD/SGD. Our...
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2011
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/etd_coll/75 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1074&context=etd_coll |
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| Institution: | Singapore Management University |
| Language: | English |