Trading Patterns and Prices in the Interbank Foreign Exchange Market

Journal Article (Journal Article)

The behavior of quote arrivals and bid‐ask spreads is examined for continuously recorded deutsche mark‐dollar exchange rate data over time, across locations, and by market participants. A pattern in the intraday spread and intensity of market activity over time is uncovered and related to theories of trading patterns. Models for the conditional mean and variance of returns and bid‐ask spreads indicate volatility clustering at high frequencies. The proposition that trading intensity has an independent effect on returns volatility is rejected, but holds for spread volatility. Conditional returns volatility is increasing in the size of the spread. 1993 The American Finance Association

Full Text

Duke Authors

Cited Authors


Published Date

  • January 1, 1993

Published In

Volume / Issue

  • 48 / 4

Start / End Page

  • 1421 - 1443

Electronic International Standard Serial Number (EISSN)

  • 1540-6261

International Standard Serial Number (ISSN)

  • 0022-1082

Digital Object Identifier (DOI)

  • 10.1111/j.1540-6261.1993.tb04760.x

Citation Source

  • Scopus