Bid-ask spread, order size and volatility in the foreign exchange market: an empirical investigation

This paper provides empirical evidence on the relationship between order size, volatility and spread in the foreign exchange market based on a FX dealer's quotes. It uses a new data set that includes intra-daily data on trading volumes. The results are broadly consistent with the findings of the literature. It is found that spreads are independent of order size in both markets for the tow currencies.

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Year of publication:	2013-12
Authors:	Gtifa, Saida ; LIOUANE, Naoufel
Published in:	E3 Journal of Business Management and Economics.. - E3 Journals. - Vol. 4.2013, 12, p. 267-275
Publisher:	E3 Journals
Subject:	Bid-ask spread \| trading volume \| foreign exchange market

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Type of publication:	Article
Notes:	The price is Free
Source:	RePEc - Research Papers in Economics

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