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Bid-ask spread, order size and volatility in the foreign exchange market: an empirical investigation

Saida Gtifa and Naoufel Liouane
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Saida Gtifa: University of Science Economic and Management of Tunisia
Naoufel Liouane: High Institute of Finance and Taxation, University of Sousse, Tunisia

E3 Journal of Business Management and Economics., 2013, vol. 4, issue 12, 267-275

Abstract: This paper provides empirical evidence on the relationship between order size, volatility and spread in the foreign exchange market based on a FX dealer's quotes. It uses a new data set that includes intra-daily data on trading volumes. The results are broadly consistent with the findings of the literature. It is found that spreads are independent of order size in both markets for the tow currencies.

Keywords: Bid-ask spread; trading volume; foreign exchange market. (search for similar items in EconPapers)
Date: 2013-12
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