کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5090232 | 1375622 | 2009 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Trading activity, dealer concentration and foreign exchange market quality
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We study the relation between foreign exchange market quality and both trading activity and dealer concentration by considering two currency pairs with significant differences along both dimensions - the Euro-US dollar and Canadian dollar-US dollar. A variance ratio test reveals over-reaction in currency prices, but that this is smallest when trading activity is high and dealer concentration at its peak. A GARCH model shows that over-reaction declines as trading activity and dealer concentration increase, with the results being stronger for the Euro. Our results confirm that trading activity is an important determinant of market quality, but also point to a significant role for dealer concentration.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 33, Issue 11, November 2009, Pages 2122-2131
Journal: Journal of Banking & Finance - Volume 33, Issue 11, November 2009, Pages 2122-2131
نویسندگان
Aditya Kaul, Stephen Sapp,