Price discovery in electronic foreign exchange markets: The sterling/dollar market

This study finds that GLOBEX has a marginally lower Hasbrouck, J. (1995) information share than Reuters D3000 in the electronic sterling/dollar foreign exchange market when returns are computed from high frequency data on either midquotes or transaction prices. However, GLOBEX's information sha...

Full description

Saved in:
Bibliographic Details
Published in:The journal of futures markets 2010-06, Vol.30 (6), p.590-606
Main Author: Poskitt, Russell
Format: Article
Language:English
Subjects:
Dollar
Exchange market
Foreign exchange
Foreign exchange markets
Information
Liquidity
Macroeconomics
Markets
Methodology
Pound sterling
Prices
Pricing
Rates of return
Stock prices
Studies
Transactional analysis
United Kingdom
United States
Volatility
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:This study finds that GLOBEX has a marginally lower Hasbrouck, J. (1995) information share than Reuters D3000 in the electronic sterling/dollar foreign exchange market when returns are computed from high frequency data on either midquotes or transaction prices. However, GLOBEX's information share declines sharply when returns are computed from a mixture of GLOBEX transaction prices and Reuters D3000 midquotes. This helps explain why prior studies using this latter methodology report relatively low information shares for GLOBEX in the yen/dollar market. Variations in GLOBEX's information share on an intraday basis can be explained by variations in relative liquidity, spreads and price volatility. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:590–606, 2010
ISSN:0270-7314
1096-9934
DOI:10.1002/fut.20433