The relation of trade size and price contribution in a traditional foreign exchange brokered market

James A. Ligon and Hao-Chen Liu

Pacific-Basin Finance Journal, 2013, vol. 21, issue 1, 1024-1045

Abstract: Using actual transaction data from the Taiwanese foreign exchange traditional brokered market, we show that the stealth-trading hypothesis does not hold in this market. Large-size trades contribute the most to price change. Examining the role of depth and late day trades, we conclude that this is most likely attributable to the high inventory-control cost in the foreign exchange market and that the survival of traditional brokers in the foreign exchange market may be related to their ability to facilitate large inventory related trades.

Keywords: Foreign exchange; Microstructure; Stealth trading; Traditional inter-dealer broker (search for similar items in EconPapers)
JEL-codes: F31 G15 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927538X12000583
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:21:y:2013:i:1:p:1024-1045

DOI: 10.1016/j.pacfin.2012.08.002

Access Statistics for this article

Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee

More articles in Pacific-Basin Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().