Trading Patterns and Prices in the Interbank Foreign Exchange Market
Publication
, Journal Article
BOLLERSLEV, T; DOMOWITZ, I
Published in: The Journal of Finance
January 1, 1993
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
Duke Scholars
Published In
The Journal of Finance
DOI
EISSN
1540-6261
ISSN
0022-1082
Publication Date
January 1, 1993
Volume
48
Issue
4
Start / End Page
1421 / 1443
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
Citation
APA
Chicago
ICMJE
MLA
NLM
BOLLERSLEV, T., & DOMOWITZ, I. (1993). Trading Patterns and Prices in the Interbank Foreign Exchange Market. The Journal of Finance, 48(4), 1421–1443. https://doi.org/10.1111/j.1540-6261.1993.tb04760.x
BOLLERSLEV, T., and I. DOMOWITZ. “Trading Patterns and Prices in the Interbank Foreign Exchange Market.” The Journal of Finance 48, no. 4 (January 1, 1993): 1421–43. https://doi.org/10.1111/j.1540-6261.1993.tb04760.x.
BOLLERSLEV T, DOMOWITZ I. Trading Patterns and Prices in the Interbank Foreign Exchange Market. The Journal of Finance. 1993 Jan 1;48(4):1421–43.
BOLLERSLEV, T., and I. DOMOWITZ. “Trading Patterns and Prices in the Interbank Foreign Exchange Market.” The Journal of Finance, vol. 48, no. 4, Jan. 1993, pp. 1421–43. Scopus, doi:10.1111/j.1540-6261.1993.tb04760.x.
BOLLERSLEV T, DOMOWITZ I. Trading Patterns and Prices in the Interbank Foreign Exchange Market. The Journal of Finance. 1993 Jan 1;48(4):1421–1443.
Published In
The Journal of Finance
DOI
EISSN
1540-6261
ISSN
0022-1082
Publication Date
January 1, 1993
Volume
48
Issue
4
Start / End Page
1421 / 1443
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment