BID-ASK SPREAD AND ORDER SIZE IN THE FOREIGN EXCHANGE MARKET: AN EMPIRICAL INVESTIGATION

被引：5
|
作者：
Ding, Liang [1 ]
机构：
[1] Macalester Coll, Dept Econ, St Paul, MN 55105 USA
来源：
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS | 2009年 / 14卷 / 01期
关键词：
Bid-ask spread; order size; foreign exchange market; inter-dealer market; customer market; VOLATILITY;
D O I：
10.1002/ijfe.365
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This article empirically examines the relationship between order sizes and spreads in the foreign exchange (FX) market based on a FX dealer's quotes. It is found that spreads are independent of order sizes in the inter-dealer market, but they are negatively correlated in the customer market. Copyright (C) 2008 John Wiley & Sons, Ltd.
引用
收藏
页码：98 / 105
页数：8
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