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Spread Components in the Hungarian Forint-Euro Market

Listed author(s):
  • Michael Frömmel
  • Frederick Van Gysegem
Registered author(s):

    We apply the spread decomposition model by Huang and Stoll (1997) to a new data set on the Hungarian forint/euro interbank market. In contrast to previous results, we cover a minor market over a long time span. We find a significant inventory effect, and we find that spread size significantly increases with trade size. Overall, this work confirms the predictions from various theoretical models on a small and less-liquid market. In comparison with other studies, the size of the market, institutional differences between markets, and specificities of the data set seem to play an important role.

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    File URL: http://hdl.handle.net/10.2753/REE1540-496X480303
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    Article provided by Taylor & Francis Journals in its journal Emerging Markets Finance and Trade.

    Volume (Year): 48 (2012)
    Issue (Month): 3 (May)
    Pages: 52-69

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    Handle: RePEc:taf:emfitr:v:48:y:2012:i:3:p:52-69
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