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

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

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...

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Bibliographic Details
Main Author: DING, David K.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 1999
Subjects:
Bid-ask spreads
transaction prices
rate risk
components
liquidity
costs
Business
Finance and Financial Management
Portfolio and Security Analysis
Online Access: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
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Institution: Singapore Management University
Language: English

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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

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