The components of electronic inter-dealer spot FX bid-ask spreads

被引：6
|
作者：
McGroarty, Frank [1 ]
Ap Gwilym, Owain
Thomas, Stephen
机构：
[1] Univ Southampton, Sch Management, Southampton SO17 1BJ, Hants, England
[2] Univ Wales, Sch Business & Management, Aberystwyth, Dyfed, Wales
[3] City Univ London, Cass Business Sch, London EC1V 0HB, England
来源：
JOURNAL OF BUSINESS FINANCE & ACCOUNTING | 2007年 / 34卷 / 9-10期
关键词：
high frequency data; foreign exchange; market microstructure; bid-ask spreads; order driven;
D O I：
10.1111/j.1468-5957.2007.02051.x
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper applies an established bid-ask spread decomposition model to the inter-dealer spot foreign exchange market. In addition, the paper presents and tests a modified decomposition model which is specifically adapted to the features of order-driven markets and which is found to produce more plausible results than the original model. Price clustering is introduced as a new explanatory factor within this framework and is shown to be vitally important in understanding the composition of bid-ask spreads in this market.
引用
收藏
页码：1635 / 1650
页数：16
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