Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5089740 | Journal of Banking & Finance | 2012 | 16 Pages |
Abstract
⺠We examine the implications of market microstructure for foreign exchange markets. ⺠We discuss why liquidity and trading density are involved in the order flow model. ⺠The order flow is inadequate to explaining the low trading density currency return. ⺠Both order flow and bid-ask spread affect the high trading density currency return. ⺠The order flow model is better at incorporating the liquidity and trading density.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Shikuan Chen, Chih-Chung Chien, Ming-Jen Chang,