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Bid–ask spread and order size in the foreign exchange market: an empirical investigation
Author(s) -
Ding Liang
Publication year - 2009
Publication title -
international journal of finance and economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.505
H-Index - 39
eISSN - 1099-1158
pISSN - 1076-9307
DOI - 10.1002/ijfe.365
Subject(s) - order (exchange) , economics , foreign exchange market , foreign exchange , market microstructure , order book , bid–ask spread , ask price , financial economics , bid price , econometrics , monetary economics , market liquidity , economy , finance
This article empirically examines the relationship between order sizes and spreads in the foreign exchange (FX) market based on a FX dealer's quotes. It is found that spreads are independent of order sizes in the inter‐dealer market, but they are negatively correlated in the customer market. Copyright © 2008 John Wiley & Sons, Ltd.