Foreign exchange market Bid-Ask spreads and the market price of social unrest

Oxford Economic Papers

Volumn 48, Issue 2, 1996, Pages 329-341

  Melvin, Michael ^a   Tan, Kok Hui ^b  

^a ARIZONA STATE UNIVERSITY   (United States)

^b NANYANG TECHNOLOGICAL UNIVERSITY   (Singapore)

Author keywords

[No Author keywords available]

Indexed keywords

DEVELOPING COUNTRY; FOREIGN EXCHANGE MARKET; MARKET IMPACT; SOCIAL UNREST;

SOUTH AFRICA;

EID: 0030474047     PISSN: 00307653     EISSN: None     Source Type: Journal    
DOI: 10.1093/oxfordjournals.oep.a028571     Document Type: Article

References (9)

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2. ANDERSON, T. G. (1993). 'Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility' Working Paper, Kellogg Graduate School of Management, Northwestern University, Evanston, IL.
3. BOLLERSLEV, T., CHOU, R. Y., and KRONER, K. F. (1992). 'ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence', Journal of Econometrics, 52, 5-59.
4. BOLLERSLEV, T. and MELVIN, M. (1994). 'Bid-Ask Spreads and Volatility in the Foreign Exchange Market', Journal of International Economics, 36, 355-72.
5. BOOTHE, P. (1988). 'Exchange Rate Risk and the Bid-Ask Spread: A Seven Country Comparison', Econome Inquiry, 26, 485-92.
6. CLASSMAN, D. (1987). 'Exchange Rate Risk and Transactions Costs: Evidence from Bid-Ask Spreads', Journal of International Money and Finance, 6, 479-90.
7. GLOSTEN, L. and MILGROM, P. (1985). 'Bid, Ask, and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders', Journal of Financial Economics, 13, 71-100.
8. GOODHART, C. A. E. and FIGLIUOLI, L. (1991). 'Every Minute Counts in Financial Markets', Journal of International Money and Finance, 10, 23-52.
9. International Country Risk Guide, The Economist Intelligence Unit, various monthly issues.