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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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
1999
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| 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 |