FX spreads and dealer competition across the 24-hour trading day

Review of Financial Studies

Volumn 12, Issue 1, 1999, Pages 61-93

  Huang, Roger D ^a   Masulis, Ronald W ^b  

^a VANDERBILT UNIVERSITY   (United States)

^b NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0033484601     PISSN: 08939454     EISSN: None     Source Type: Journal    
DOI: 10.1093/rfs/12.1.61     Document Type: Article

References (33)

1. Andersen, T. G., and T. Bollerslev, 1998, "Intraday Seasonality and Volatility Persistence in Foreign Exchange and Equity Markets," forthcoming in Journal of Empirical Finance.
2. Baillie, R. T., and T. Bollerslev, 1990, "Intra-Day and InterMarket Volatility in Foreign Exchange Rates," Review of Economic Studies, 58, 565-585.
3. Bank for International Settlements, 1996, Central Bank Survey of Foreign Exchange Market Activity, Bank for International Settlements, Basle, Switzerland.
4. Biais, B., 1993, "Price Formation and Equilibrium: Liquidity in Fragmented and Centralized Markets," Journal of Finance, 48, 1765-1789.
5. Bessembinder, H., 1994, "Bid-Ask Spreads in the Interbank Foreign Exchange Markets," Journal of Financial Economics, 35, 317-348.
6. Bollerslev, T., and I. Domowitz, 1993, "Trading Patterns and Prices in the Interbank Foreign Exchange Market," Journal of Finance, 48, 1421-1443.
7. Bollerslev, T., and M. Melvin, 1994, "Bid-Ask Spreads and Volatility in the Foreign Exchange Market: An Empirical Analysis," Journal of International Economics, 36, 355-372.
8. Boothe, P., 1988, "Exchange Rate Risk and The Bid-Ask Spread: A Seven Country Comparison," Economic Inquiry, 26, 485-592.
9. Burnham, J. B., 1991, "Current Structure and Recent Developments in Foreign Exchange Markets," in S. J. Khoury (ed.). Recent Developments in International Banking and Finance, Elsevier Science, Amsterdam; 123-153.
10. Cohen, K., S. Maier, R. Schwartz, and D. Whitcomb, 1979, "Market Makers and the Market Spread: A Review of Recent Literature," Journal of Financial and Quantitative Analysis, 14, 813-835.
11. Dacorogna, M. M., U. A. Muller, R. J. Nagler, R. B. Olsen, and O. V. Pictet, 1993, "A Geographical Model for the Daily and Weekly Seasonal Volatility in the Foreign Exchange Market," Journal of International Money and Finance, 12, 413-438.
12. Dickey, D. A., and W. A. Fuller, 1979, "Distribution of the Estimators for Time Series Regressions with a Unit Root," Journal of American Statistical Association, 74, 427-431.
13. Glassman, D., 1987, "Exchange Rate Risk and Transactions Costs: Evidence from Bid-Ask Spreads," Journal of International Money and Finance, 6, 479-490.
14. Glosten, L., 1994, "Is the Electronic Open Limit Order Book Inevitable?," Journal of Finance, 49, 1127-1161.
15. Goodhart, C. A. E., 1988, "The Foreign Exchange Market: A Random Walk with a Dragging Anchor," Economica, 55, 437-60.
16. Goodhart, C. A. E., and A. Demos, 1990, "Reuters Screen Images of the Foreign Exchange Market: The Deutschemark/Dollar Spot Rate," Journal of International Securities Markets, Winter, 333-348.
17. Goodhart, C. A. E., and L. Figliuoli, 1991, "Every Minute Counts In Financial Markets," Journal of International Money and Finance, 10, 23-52.
18. Goodhart C. A. E., T. Ito, and R. Payne, 1996, "One Day in June 1993: A Study of the Working of Reuters 2000-2 Electronic Foreign Exchange Trading System," in J. Frankel, G. Galli, and A. Giovannini (eds.), The Microstructure of Foreign Exchange Markets, University of Chicago Press, Chicago, Ill.; 107-182.
19. Hansen, L. P., 1982, "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, 50, 1029-1054.
20. Ho, T., and H. Stoll, 1983, "The Dynamics of Dealer Markets Under Competition," Journal of Finance, 38, 1053-1075.
21. Ho, T., and R. Macris, 1985, "Dealer Market Structure and Performance," in Y. Amihud, T. Ho, and R. Schwartz (eds.), Market Making and the Changing Structure of the Securities Industry, Lexington Books, New York.
22. Laux, P. A., 1995, "Dealer Market Structure, Outside Competition and the Bid-Ask Spread," Journal of Economic Dynamics and Control, 19, 683-710.
23. Lyons, R. K., 1995, "Tests of Microstructural Hypotheses in the Foreign Exchange Market," Journal of Financial Economics, 39, 321-351.
24. Morgan, J. P., 1992, World Holiday and Time Guide, J. P Morgan, New York.
25. Morgan, J. P., 1993, World Holiday and Time Guide, J. P. Morgan, New York.
26. Muller U. A., M. M. Dacorogna, R. B. Olsen, O. V. Pictet, M. Schwarz, and C. Morgenegg, 1990, "Statistical Study of Foreign Exchange Rates, Empirical Evidence of a Price Change Scaling Law, and Intraday Analysis," Journal of Banking and Finance, 14, 1189-1208.
27. Newey, W., and K. West, 1987, "A Simple Positive Semi-definite Heteroscedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, 55, 703-708.
28. Phillips, P. C. B., and P. Perron, 1988, "Testing for a Unit Root in Time Series Regressions," Biometrika, 75, 335-346.
29. Schwarz, G., 1978, "Estimating the Dimension of a Model," Annals of Statistics, 6, 461-464.
30. Stoll, H., 1978a, "The Supply of Dealer Services In Securities Markets," Journal of Finance, 33, 1153-1172.
31. Stoll, H., 1978b, "The Pricing of Security Dealer Services: An Empirical Study of NASDAQ Stocks," Journal of Finance, 33, 1133-1151.
32. Tygier, C., 1988, Basic Handbook of Foreign Exchange: A Guide to Foreign Exchange Dealing, (2nd ed.), Euromoney Publication Ltd, London.
33. Wahal, S., 1997, "Entry, Exit, Market Makers and the Bid-Ask Spread," Review of Financial Studies, 10, 871-901.