BID-ASK SPREADS AND VOLATILITY IN THE FOREIGN-EXCHANGE MARKET - AN EMPIRICAL-ANALYSIS

被引：117

作者：

BOLLERSLEV, T

MELVIN, M

机构：

[1] ARIZONA STATE UNIV,DEPT ECON,TEMPE,AZ 85287

[2] NORTHWESTERN UNIV,JL KELLOGG GRAD SCH MANAGEMENT,DEPT FINANCE,EVANSTON,IL 60208

来源：

JOURNAL OF INTERNATIONAL ECONOMICS | 1994年 / 36卷 / 3-4期

关键词：

EXCHANGE RATES; MARKET MICROSTRUCTURE;

D O I：

10.1016/0022-1996(94)90008-6

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Consistent with the implications from a simple asymmetric information model for the bid-ask spread, we present empirical evidence that the size or the bid-ask spread in the foreign exchange market is positively related to the underlying exchange rate uncertainty. The estimation results are based on an ordered probit analysis that captures the discreteness in the spread distribution, with the uncertainty of the spot exchange rate being quantified through a GARCH type model. The data sets consist of more than 300,000 continuously recorded Deutschemark/dollar quotes over the period from April 1989 to June 1989.

引用

页码：355 / 372

页数：18

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