Intraday price discovery analysis in the foreign exchange market of an emerging economy: Mexico

Valeria Martinez and Yiuman Tse

Research in International Business and Finance, 2018, vol. 45, issue C, 271-284

Abstract: We analyze intraday price discovery in the spot and futures markets for an emerging economy’s flexible exchange rate: the U.S. dollar–Mexican peso (USD-MXN) rate. The futures and spot markets are cointegrated and significantly driven by the common factor. Both markets rapidly respond to the disequilibrium between markets in a minute. Overall the spot market moderately leads futures in price discovery. We also look at the impact of Mexican government interventions on price discovery and find interventions have a significant impact on price discovery.

Keywords: Central bank interventions; Currency; Futures; Price discovery; Quotes; Spot (search for similar items in EconPapers)
JEL-codes: E5 F3 G1 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0275531917304634
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:riibaf:v:45:y:2018:i:c:p:271-284

DOI: 10.1016/j.ribaf.2017.07.159

Access Statistics for this article

Research in International Business and Finance is currently edited by T. Lagoarde Segot

More articles in Research in International Business and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().