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Bid-ask spread, order size and volatility in the foreign exchange market: an empirical investigation

Author

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  • Saida Gtifa

    (University of Science Economic and Management of Tunisia)

  • Naoufel LIOUANE

    (High Institute of Finance and Taxation, University of Sousse, Tunisia)

Abstract

This paper provides empirical evidence on the relationship between order size, volatility and spread in the foreign exchange market based on a FX dealer's quotes. It uses a new data set that includes intra-daily data on trading volumes. The results are broadly consistent with the findings of the literature. It is found that spreads are independent of order size in both markets for the tow currencies.

Suggested Citation

  • Saida Gtifa & Naoufel LIOUANE, 2013. "Bid-ask spread, order size and volatility in the foreign exchange market: an empirical investigation," E3 Journal of Business Management and Economics., E3 Journals, vol. 4(12), pages 267-275.
    • Handle: RePEc:etr:series:v:4:y:2013:i:12:p:267-275
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    References listed on IDEAS

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    Cited by:

    1. Rashmi Ranjan Paital & Naresh Kumar Sharma, 2016. "Bid-Ask Spreads, Trading Volume and Return Volatility: Intraday Evidence from Indian Stock Market," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 4(1), pages 24-40.

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