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Bid/ask spreads in the foreign exchange market: An alternative interpretation

  • Poskitt, Russell
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    File URL: http://www.sciencedirect.com/science/article/B6VFF-4H0BSV2-1/2/da53f35b0facc097ed0038a2053bc59f
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    Article provided by Elsevier in its journal Pacific-Basin Finance Journal.

    Volume (Year): 13 (2005)
    Issue (Month): 5 (November)
    Pages: 562-583

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    Handle: RePEc:eee:pacfin:v:13:y:2005:i:5:p:562-583
    Contact details of provider: Web page: http://www.elsevier.com/locate/pacfin

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    1. Yin-Wong Cheung & Menzie D. Chinn & Ian W. Marsh, 2004. "How do UK-based foreign exchange dealers think their market operates?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(4), pages 289-306.
    2. Goodhart, Charles A. E. & Payne, Richard G., 1996. "Microstructural dynamics in a foreign exchange electronic broking system," Journal of International Money and Finance, Elsevier, vol. 15(6), pages 829-852, December.
    3. Bossaerts, Peter & Hillion, Pierre, 1991. "Market Microstructure Effects of Government Intervention in the Foreign Exchange Market," Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 513-41.
    4. Lyons, R.K., 1991. "Private Beliefs and Information Externalities in the Foreign Exchange Market," Papers 91-17, Columbia - Graduate School of Business.
    5. Philippe Jorion, 1996. "Risk and Turnover in the Foreign Exchange Market," NBER Chapters, in: The Microstructure of Foreign Exchange Markets, pages 19-40 National Bureau of Economic Research, Inc.
    6. Hartmann, Philipp, 1998. "Do Reuters spreads reflect currencies' differences in global trading activity?," Journal of International Money and Finance, Elsevier, vol. 17(5), pages 757-784, October.
    7. Huang, Roger D & Masulis, Ronald W, 1999. "FX Spreads and Dealer Competition across the 24-Hour Trading Day," Review of Financial Studies, Society for Financial Studies, vol. 12(1), pages 61-93.
    8. Richard Payne & Charles Goodhart & Dagfinn Rime, 2002. "Analysis of spreads in the Dollar/Euro and Deutsche Mark/Dollar foreign exchange markets," FMG Discussion Papers dp467, Financial Markets Group.
    9. Allen, William A., 1977. "A note on uncertainty, transactions costs and interest parity," Journal of Monetary Economics, Elsevier, vol. 3(3), pages 367-373, July.
    10. Jon Danielsson & Richard Payne, 1999. "Real Trading Patterns and Prices in Spot Foreign Exchange Markets," FMG Discussion Papers dp320, Financial Markets Group.
    11. Goodhart, C. A. E. & Figliuoli, L., 1991. "Every minute counts in financial markets," Journal of International Money and Finance, Elsevier, vol. 10(1), pages 23-52, March.
    12. Naranjo, Andy & Nimalendran, M, 2000. "Government Intervention and Adverse Selection Costs in Foreign Exchange Markets," Review of Financial Studies, Society for Financial Studies, vol. 13(2), pages 453-77.
    13. Cheung, Yin-Wong & Wong, Clement Yuk-Pang, 2000. "A survey of market practitioners' views on exchange rate dynamics," Journal of International Economics, Elsevier, vol. 51(2), pages 401-419, August.
    14. Yin-Wong Cheung & Menzie D. Chinn, 1999. "Traders, Market Microstructure and Exchange Rate Dynamics," NBER Working Papers 7416, National Bureau of Economic Research, Inc.
    15. Charles Goodhart & Takatoshi Ito & Richard Payne, 1996. "One Day in June 1993: A Study of the Working of the Reuters 2000-2 Electronic Foreign Exchange Trading System," NBER Chapters, in: The Microstructure of Foreign Exchange Markets, pages 107-182 National Bureau of Economic Research, Inc.
    16. Lauren Rosborough, 2001. "Trends in foreign exchange trading," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 64, December.
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