Microstructure of the yen/dollar foreign exchange market
patterns of intra-day activity revealed in the electronic broking system
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Author
Contributions
- Hashimoto, Yuko. - Contributor
- National Bureau of Economic Research. - Contributor
Publication
2004 - National Bureau of Economic Research, Cambridge, Mass, Massachusetts
Language
English
Word Count
10,750 words, Guess
Page Count
43 pages
Identifiers
- OCLC Control Number56910594
- Open LibraryOL17625234M
Description
"This paper establishes several intra-day patterns of the high-frequency exchange rate behavior, using the firm bid-ask quote, transaction of the EBS data set. First, the activity of quote and transactions is high in the beginning hours of the three major currency markets %u2013 Tokyo, London, and New York and low during the Tokyo and London lunch hours and late afternoon in New York. Second, a new observation is obtained in that activity does not increase toward the end of business hours in the three major markets, even during the closing hours of New York on Friday. Third, an average bid-ask spread is narrow (wide), when quote and deal frequencies are high (low, respectively), except the beginning hour of Tokyo (GMT 0), when the bid-ask spread is wide despite high levels of activity"--National Bureau of Economic Research web site.
Subjects
Topics
Series Statement
- NBER working paper series -- no. 10856.
- Working paper series (National Bureau of Economic Research) -- working paper no. 10856.
Links
Other Editions
- Microstructure of the yen/dollar foreign exchange market: patterns of intra-day activity revealed in the electronic broking system
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