Bid-ask spread and order size in the foreign exchange market: an empirical investigation
International Journal of Finance & Economics, 2009, vol. 14, issue 1, 98-105
This article empirically examines the relationship between order sizes and spreads in the foreign exchange (FX) market based on a FX dealer's quotes. It is found that spreads are independent of order sizes in the inter-dealer market, but they are negatively correlated in the customer market. Copyright © 2008 John Wiley & Sons, Ltd.
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