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| Author: | Hartmann, P. |
| Title: | Do Reuters spreads reflect currencies' differences in global trading activity? |
| Journal: | Journal of International Money and Finance
1998 : OCT, VOL. 17:5, p. 757-784 |
| Index terms: | Trading volumes Bidding Price policy Foreign exchange market |
| Freeterms: | Bid-ask spreads |
| Language: | eng |
| Abstract: | In this study a new estimation of the long-run impact of trading activity on bid-ask spreads in the foreign exchange markets is undertaken 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 line with liquidity effect explanations the volume parameter is found to have a significant negative sign, whereas the volatility parameter is positive. Structural parameters are stable while residuals are groupwise heteroscedastic. Reuters quoting frequency is also tested as a measure of trading activity with very similar results. |
SCIMA