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Bid-ask spread and order size in the foreign exchange market: an empirical investigation Author info | Abstract | Publisher info | Download info | Related research | Statistics Liang Ding (Department of Economics, Macalester College, USA)
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This article empirically examines the relationship between order sizes and spreads in the foreign exchange (FX) market based on a FX dealer's quotes. It is found that spreads are independent of order sizes in the inter-dealer market, but they are negatively correlated in the customer market. Copyright © 2008 John Wiley & Sons, Ltd.
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Article provided by John Wiley & Sons, Ltd. in its journal International Journal of Finance & Economics .
Volume (Year): 14 (2009)
Issue (Month): 1 ()
Pages: 98-105
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Handle: RePEc:ijf:ijfiec:v:14:y:2009:i:1:p:98-105Contact details of provider: Web page: http://www.interscience.wiley.com/jpages/1076-9307/
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Keywords: 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.:
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Other versions: Biais, Bruno, 1993.
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Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover
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[Downloadable!]
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