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Bid-ask spreads in the interbank foreign exchange markets

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Bessembinder, Hendrik

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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 35 (1994)
Issue (Month): 3 (June)
Pages: 317-348
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Handle: RePEc:eee:jfinec:v:35:y:1994:i:3:p:317-348

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  1. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2003. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," American Economic Review, American Economic Association, vol. 93(1), pages 38-62, March. [Downloadable!]
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  2. Cornelis A. Los & Jeyanthi Karuppiah, 2004. "Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997," Finance 0409037, EconWPA. [Downloadable!]
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  3. Richard K. Lyons, 1993. "Tests of Microstructural Hypotheses in the Foreign Exchange Market," NBER Working Papers 4471, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  4. Burkart Mönch, 2009. "Liquidating large security positions strategically: a pragmatic and empirical approach," Financial Markets and Portfolio Management, Springer, vol. 23(2), pages 157-186, June. [Downloadable!] (restricted)
  5. Imen Kouki & Hélène Raymond, 2006. "Analyse microstructurelle du comportement du teneur de marché des changes : étude intra-journalière de l'activité d'un teneur de marché tunisien," EconomiX Working Papers 2006-14, University of Paris West - Nanterre la Défense, EconomiX. [Downloadable!]
  6. Törbjörn I. Becker & Amadou N. R. Sy, 2005. "Were Bid-Ask Spreads in the FX Market Excessive During the Asian Crisis?," IMF Working Papers 05/34, International Monetary Fund. [Downloadable!]
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  7. John Ammer & Allan D. Brunner, 1994. "Are banks market timers or market makers? Explaining foreign exchange trading profits," International Finance Discussion Papers 484, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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  8. Richard K. Lyons, 1995. "Foreign Exchange Volume: Sound and Fury Signifying Nothing?," NBER Working Papers 4984, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  9. Yin-Wong Cheung & Menzie D. Chinn & Ian W. Marsh, 2004. "How do UK-based foreign exchange dealers think their market operates?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(4), pages 289-306. [Downloadable!]
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  10. Joel Hasbrouck, 1998. "Security Bid/Ask Dynamics with Discreteness and Clustering: Simple Strategies for Modeling and Estimation," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-042, New York University, Leonard N. Stern School of Business-. [Downloadable!]
  11. Charles Goodhart & Takatoshi Ito & Richard Payne, 1995. "One Day in June, 1994: A Study of the Working of Reuters 2000-2 Electronic Foreign Exchange Trading System," NBER Technical Working Papers 0179, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  12. Yin-Wong Cheung & Menzie D. Chinn, 1999. "Traders, Market Microstructure and Exchange Rate Dynamics," NBER Working Papers 7416, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  13. Matthieu Wyart & Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters & Michele Vettorazzo, 2006. "Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets," Science & Finance (CFM) working paper archive 500067, Science & Finance, Capital Fund Management. [Downloadable!]
  14. Ronald J. Balvers & Yangru Wu, 2005. "Optimal Transaction Filters Under Transitory Trading Opportunities: Theory and Empirical Illustration," Working Papers 022005, Hong Kong Institute for Monetary Research. [Downloadable!]
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  15. Wai-Ming Fong & Giorgio Valente & Joseph K.W. Fung, 2008. "FX Arbitrage and Market Liquidity: Statistical Significance and Economic Value," Working Papers 082008, Hong Kong Institute for Monetary Research. [Downloadable!]
  16. Cheung, Yin-Wong & Chinn, Menzie D., 2000. "Currency Traders and Exchange Rate Dynamics: A Survey of the U.S. Market," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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  17. Richard Portes & Helene Rey, 1998. "The Emergence of the Euro as an International Currency," NBER Working Papers 6424, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  18. Tanseli Savaser, 2007. "Exchange Rate Response to Macro News: Through the Lens of Microstructure," Department of Economics Working Papers 2007-2, Department of Economics, Williams College. [Downloadable!]
  19. Fang Cai, 2003. "Was there front running during the LTCM crisis," International Finance Discussion Papers 758, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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