Real trading patterns and prices in spot foreign exchange markets

被引：53

作者：

Daníelsson, J

Payne, R

机构：

[1] Univ London London Sch Econ & Polit Sci, Dept Accounting & Finance, London WC2A 2AE, England

[2] Univ London London Sch Econ & Polit Sci, Financial Markets Grp, London WC2A 2AE, England

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2002年 / 21卷 / 02期

关键词：

exchange rates; foreign exchange market microstructure; high-frequency data;

D O I：

10.1016/S0261-5606(01)00043-2

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Most empirical FX microstructure research uses indicative quotes to proxy for firm, tradeable quotes. This paper presents comparison of the characteristics of one week of indicative DEM/USD data with contemporaneous, transactions-based data from an electronic FX brokerage. A high-frequency analysis yields the following results. Indicative returns are more volatile and more strongly autocorrelated than firm returns. Unlike firm spreads, indicative spreads contain no information on market liquidity. Indicative returns lag firm returns by around 3 minutes. These differences disappear with aggregation. Return properties are similar when sampled every 5 minutes and are essentially indistinguishable when sampled every 10 minutes. (C) 2002 Elsevier Science Ltd. All rights reserved.

引用

页码：203 / 222

页数：20

共 21 条

[1] Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns [J].