Teaching The Bid-Ask Spread And Triangular Arbitrage For The Foreign Exchange Market
نویسندگان
چکیده
منابع مشابه
Bid-ask Spread and Order Size in the Foreign Exchange Market: An Empirical Investigation
This article empirically examines the relationship between order sizes and spreads in the foreign exchange market based on a FX dealer’s quotes. It is found that spreads are independent of order sizes in the inter-dealer market, but they are negatively correlated in the customer market. JEL classification: F31; G14
متن کاملAsymmetric responses of ask and bid quotes to information in the foreign exchange market
We study the price discovery in a foreign exchange electronic limit order market on a daily basis, by examining the informativeness of ask and bid quotes in the process of price formation. Using the data of prices and trades in the Euro–Dollar spot market via Electronic Broking Services (EBS), we find bid quotes provide more price discovery. This dominance of bid quotes in price discovery is st...
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this paper studies the relationship between return and the bid-ask spread in tehran stock exchange. the research has been done according to amihud and mendelson’s model (1986). it should be mentioned that portfolio beta and size are added as explanatory variables into the model. the study period is from day 1382 to tir 1389. based on the pooling of cross section and time series data used to est...
متن کاملThe Mirage of Triangular Arbitrage in the Spot Foreign Exchange Market
We investigate triangular arbitrage within the spot foreign exchange market using highfrequency executable prices. We show that triangular arbitrage opportunities do exist, but that most have short durations and small magnitudes. We find intra-day variations in the number and length of arbitrage opportunities, with larger numbers of opportunities with shorter mean durations occurring during mor...
متن کاملExpected Return and the Bid-Ask Spread
This paper empirically examines the relation between the expected stock return and the bid-ask spread. Using the same portfolio formation method as in Amihud and Mendelson (1986) but different test methodologies, we do not find any clear reliable relation between the CAPM risk-adjusted return and the relative bid-ask spread. Our empirical results are more consistent with the conclusions of Cons...
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ژورنال
عنوان ژورنال: American Journal of Business Education (AJBE)
سال: 2018
ISSN: 1942-2512,1942-2504
DOI: 10.19030/ajbe.v11i4.10212