The Determinants of Bid-Ask Spreads in the Foreign Exchange Futures Markets: A Microstructure Analysis

• المؤلف الرئيسي: DING, David K.
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 1999
• الموضوعات: Bid-ask spreads; transaction prices; rate risk; components; liquidity; costs; Business; Finance and Financial Management; Portfolio and Security Analysis
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/1165; https://ink.library.smu.edu.sg/context/lkcsb_research/article/2164/viewcontent/Determinants_bid_ask_spreads_1999_av.pdf

This paper investigates and analyzes the intraday and daily determinants of bid-ask spreads in the foreign exchange futures market. It is found that the number of transactions is negatively related to the BAS, whereas volatility in general is positively related to it. The study also finds that there...