Bid-ask spreads and volatility in the foreign exchange market. An empirical analysis
Publication
, Journal Article
Bollerslev, T; Melvin, M
Published in: Journal of International Economics
January 1, 1994
Consistent with the implications from a simple asymmetric information model for the bid-ask spread, we present empirical evidence that the size of the bid-ask spread in the foreign exchange market is positively related to the underlying exchange rate uncertainty. The estimation results are based on an ordered probit analysis that captures the discreteness in the spread distribution, with the uncertainty of the spot exchange rate being quantified through a GARCH type model. The data sets consists of more than 300,000 continuously recorded Deutschemark/dollar quotes over the period from April 1989 to June 1989. © 1994.
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Published In
Journal of International Economics
DOI
ISSN
0022-1996
Publication Date
January 1, 1994
Volume
36
Issue
3-4
Start / End Page
355 / 372
Related Subject Headings
- Economics
- 3803 Economic theory
- 3802 Econometrics
- 3801 Applied economics
- 14 Economics
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Bollerslev, T., & Melvin, M. (1994). Bid-ask spreads and volatility in the foreign exchange market. An empirical analysis. Journal of International Economics, 36(3–4), 355–372. https://doi.org/10.1016/0022-1996(94)90008-6
Bollerslev, T., and M. Melvin. “Bid-ask spreads and volatility in the foreign exchange market. An empirical analysis.” Journal of International Economics 36, no. 3–4 (January 1, 1994): 355–72. https://doi.org/10.1016/0022-1996(94)90008-6.
Bollerslev T, Melvin M. Bid-ask spreads and volatility in the foreign exchange market. An empirical analysis. Journal of International Economics. 1994 Jan 1;36(3–4):355–72.
Bollerslev, T., and M. Melvin. “Bid-ask spreads and volatility in the foreign exchange market. An empirical analysis.” Journal of International Economics, vol. 36, no. 3–4, Jan. 1994, pp. 355–72. Scopus, doi:10.1016/0022-1996(94)90008-6.
Bollerslev T, Melvin M. Bid-ask spreads and volatility in the foreign exchange market. An empirical analysis. Journal of International Economics. 1994 Jan 1;36(3–4):355–372.
Published In
Journal of International Economics
DOI
ISSN
0022-1996
Publication Date
January 1, 1994
Volume
36
Issue
3-4
Start / End Page
355 / 372
Related Subject Headings
- Economics
- 3803 Economic theory
- 3802 Econometrics
- 3801 Applied economics
- 14 Economics