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

19 citations0/0 files storedJournal of Futures Markets

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

Abstract 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

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1995One Security, Many Markets: Determining the Contributions to Price Discovery 1995Estimation of Common Long-Memory Components in Cointegrated Systems 2004Informed Trading in Stock and Option Markets 2002Price discovery and common factor models 1990Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis 1995Estimation of Common Long-Memory Components in Cointegrated Systems 1996Trading costs and the relative rates of price discovery in stock, futures, and option markets

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