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Were bid-ask spreads in the FX market excessive during the Asian crisis?

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Becker, Torbjorn
Sy, Amadou

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Article provided by Elsevier in its journal International Review of Financial Analysis.

Volume (Year): 15 (2006)
Issue (Month): 4-5 ()
Pages: 434-449
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Handle: RePEc:eee:finana:v:15:y:2006:i:4-5:p:434-449

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Shang-Jin Wei, 1994. "Anticipations of Foreign Exchange Volatility and Bid-Ask Spreads," NBER Working Papers 4737, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  2. Philipp Hartmann, 1997. "Does Reuters Spreads Reflect Currencies Differences in Global Trading Activity?," FMG Discussion Papers dp265, Financial Markets Group. [Downloadable!] (restricted)
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  3. Bessembinder, Hendrik, 1994. "Bid-ask spreads in the interbank foreign exchange markets," Journal of Financial Economics, Elsevier, vol. 35(3), pages 317-348, June. [Downloadable!] (restricted)
  4. Martin D.D. Evans & Richard K. Lyons, 2004. "A New Micro Model of Exchange Rate Dynamics," NBER Working Papers 10379, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  5. Lyons, Richard K., 1995. "Tests of microstructural hypotheses in the foreign exchange market," Journal of Financial Economics, Elsevier, vol. 39(2-3), pages 321-351. [Downloadable!] (restricted)
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  6. Boothe, Paul M, 1988. "Exchange Rate Risk and the Bid-Ask Spread: A Seven Country Comparison," Economic Inquiry, Oxford University Press, vol. 26(3), pages 485-92, July.
  7. Covrig, Vicentiu & Melvin, Michael, 2002. "Asymmetric information and price discovery in the FX market: does Tokyo know more about the yen?," Journal of Empirical Finance, Elsevier, vol. 9(3), pages 271-285, August. [Downloadable!] (restricted)
  8. Mark D. Flood, 1991. "Microstructure theory and the foreign exchange market," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 52-70. [Downloadable!]
  9. Lee, Tae-Hwy, 1994. "Spread and volatility in spot and forward exchange rates," Journal of International Money and Finance, Elsevier, vol. 13(3), pages 375-383, June. [Downloadable!] (restricted)
  10. Bossaerts, Peter & Hillion, Pierre, 1991. "Market Microstructure Effects of Government Intervention in the Foreign Exchange Market," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 4(3), pages 513-41. [Downloadable!] (restricted)
  11. Amihud, Yakov & Mendelson, Haim, 1986. "Asset pricing and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 17(2), pages 223-249, December. [Downloadable!] (restricted)
  12. Ho, Thomas & Stoll, Hans R., 1981. "Optimal dealer pricing under transactions and return uncertainty," Journal of Financial Economics, Elsevier, vol. 9(1), pages 47-73, March. [Downloadable!] (restricted)
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  13. Huang, Roger D & Masulis, Ronald W, 1999. "FX Spreads and Dealer Competition across the 24-Hour Trading Day," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 12(1), pages 61-93.
  14. Bollerslev, Tim & Domowitz, Ian, 1993. " Trading Patterns and Prices in the Interbank Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 48(4), pages 1421-43, September. [Downloadable!] (restricted)
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  1. Khemraj, Tarron & Pasha, Sukrishnalall, 2008. "Foreign exchange market bid-ask spread and market power in an underdeveloped economy," MPRA Paper 11422, University Library of Munich, Germany. [Downloadable!]
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