BID-ASK SPREADS AND VOLATILITY IN THE FOREIGN-EXCHANGE MARKET - AN EMPIRICAL-ANALYSIS

• 成果类型: Article
• 署名作者: BOLLERSLEV, T; MELVIN, M
• 署名单位: Arizona State University; Arizona State University-Tempe; Northwestern University
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/0022-1996(94)90008-6
• 发表日期: 1994
• 页码: 355-372
• 关键词: Exchange rates; Market microstructure

摘要

Consistent with the implications from a simple asymmetric information model for the bid-ask spread, we present empirical evidence that the size or 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 consist of more than 300,000 continuously recorded Deutschemark/dollar quotes over the period from April 1989 to June 1989.