Advanced Search
MyIDEAS: Login to save this article or follow this journal

Do Reuters spreads reflect currencies' differences in global trading activity?

Contents:

Author Info

  • Hartmann, Philipp

Abstract

A new estimate of the long-run impact of trading activity on bid-ask spreads in the foreign exchange markets is realized with a short panel containing around-the-clock Reuters quotes and global transaction volumes. Individual and time effects are accounted for in an unbalanced random effects model. In accordance with liquidity effect explanations the volume parameter is found to have a negative sign, although not at a high level of significance. The volatility parameter is positive and strongly significant. While the structural parameters of the model appear to be stable over time, the residuals are groupwise heteroscedastic. The higher standard error in 1992 might reflect the dynamic developments in the world forex market since 1989. Reuters quoting (tick) frequency is also tested as a measure of trading activity in spread estimations. The results turn out to be very similar to those with trading volumes, in particular when an instrumental variable estimator is employed to account for measurement errors or possible endogeneity problems.

(This abstract was borrowed from another version of this item.)

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.sciencedirect.com/science/article/B6V9S-3V5YR71-1B/2/ed35431acf2c1b8f48203faf3596a64c
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 17 (1998)
Issue (Month): 5 (October)
Pages: 757-784

as in new window
Handle: RePEc:eee:jimfin:v:17:y:1998:i:5:p:757-784

Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/30443

Related research

Keywords:

Other versions of this item:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eee:jimfin:v:17:y:1998:i:5:p:757-784. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.