This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Does Reuters Spreads Reflect Currencies Differences in Global Trading Activity?

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Philipp Hartmann

Additional information is available for the following registered author(s):

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.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://fmg.lse.ac.uk/pdfs/dp265.pdf
File Format: application/pdf
File Function:
Download Restriction: Financial Markets Group Working Papers are free to download for academics and students, and for our subscribers and sponsors. If you fall into one of these categories but have trouble downloading our papers, or if you do not fall into one of these categories but would like to pay for a copy, please contact us at fmg@lse.ac.uk

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.

Publisher Info
Paper provided by Financial Markets Group in its series FMG Discussion Papers with number dp265.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length:
Date of creation: Apr 1997
Date of revision:
Handle: RePEc:fmg:fmgdps:dp265

Contact details of provider:
Web page: http://fmg.lse.ac.uk/

For technical questions regarding this item, or to correct its listing, contact: (The FMG Administration).

Related research
Keywords:

Other versions of this item:

Cited by:
(explanations, 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.)
  1. Takatoshi Ito & Michael Melvin, 1999. "Japan's Big Bang and the Transformation of Financial Markets," NBER Working Papers 7247, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  2. Carsten Detken & Philipp Hartmann, 2000. "The Euro and International Capital Markets," EUI-RSCAS Working Papers 27, European University Institute (EUI), Robert Schuman Centre of Advanced Studies (RSCAS). [Downloadable!]
    Other versions:
  3. Prakash Kannan, 2007. "On the Welfare Benefits of an International Currency," IMF Working Papers 07/49, International Monetary Fund. [Downloadable!]
  4. 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)
    Other versions:
  5. Michele Manna & Philipp Hartmann & Andres Manzanares, 2001. "The microstructure of the Euro money market," Working Paper Series 080, European Central Bank. [Downloadable!]
    Other versions:
  6. Liliane Karlinger, 2002. "The Impact of Common Currencies on Financial Markets: A Literature Review and Evidence from the Euro Area," Working Papers 02-35, Bank of Canada. [Downloadable!]
  7. 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!]
    Other versions:
  8. C. L. Osler, 2002. "Stop-loss orders and price cascades in currency markets," Staff Reports 150, Federal Reserve Bank of New York. [Downloadable!]
Statistics
Access and download statistics

Did you know? Cannot find something on IDEAS? Encourage the publisher to index it! Instructions.

This page was last updated on 2008-10-9.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.