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The Spot AUD/USD Foreign Exchange Market: Evidence from High Frequency Data

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Author Info
Batten, Jonathan () (Hong Kong University of Science & Technology)
Warren Hogan () (University of Technology, Sydney)

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Abstract

Using a high-frequency data set of the spot Australian dollar/US dollar this study examines the distribution of quotes, spreads and returns across the trading “day”. By identifying the direction of trade and the subsequent quote returns from contributing banks the segmented nature of the market into market-makers, and informed and uninformed traders is investigated. The results suggest that the information advantage held by informed traders is quickly eroded by the price discovery process of other institutions. Also the analysis is revealing of discontinuities in trading and the volatility of pricing across the trading “day”.

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File URL: http://www.deakin.edu.au/buslaw/aef/workingpapers/papers/wpa01_03.pdf
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Publisher Info
Paper provided by Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance in its series Accounting, Finance, Financial Planning and Insurance Series with number 2001_03.

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Length: 36 pages
Date of creation: 21 Jan 2001
Date of revision:
Handle: RePEc:dkn:acctwp:aef_2001_03

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