Liquidity withdrawal in the FX spot market: A cross-country study using high-frequency data

被引：9

作者：

Stenfors, Alexis ^{[1
]}

Susai, Masayuki ^{[2
]}

机构：

[1] Univ Portsmouth, Fac Business & Law, Richmond Bldg,Portland St, Portsmouth PO1 3DE, Hants, England

[2] Nagasaki Univ, Fac Econ, 4-2-1 Katafuchi, Nagasaki 8508506, Japan

来源：

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY | 2019年 / 59卷

基金：

日本学术振兴会;

关键词：

Algorithmic trading; Foreign exchange; High-frequency trading; Limit order book; Liquidity; Market microstructure; LIMIT ORDER BOOK; BID-ASK SPREADS; EMPIRICAL-ANALYSIS; TRADE; FLOW; AGGRESSIVENESS; TRANSACTIONS; VOLATILITY; PROVISION; DYNAMICS;

D O I：

10.1016/j.intfin.2018.11.010

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper studies short-term liquidity withdrawal in the FX spot market for eight currency pairs. We include over 3 million limit order submissions, worth more than $5 trillion, and investigate the drivers of two different measures of volume-based liquidity. Overall, we find that market participants react differently to changes in the state of the market for different currency pairs. Moreover, the liquidity withdrawal process also differs depending on the perceived information content of new limit orders submitted. Finally, we document that a 'liquidity illusion' might exist in FX spot markets electronic trading platforms where algorithmic and high-frequency trading is prominent. (C) 2018 Elsevier B.V. All rights reserved.

引用

页码：36 / 57

页数：22

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