Spread volume for currency futures

Robert Daigler ()

Journal of Economics and Finance, 2007, vol. 31, issue 1, 12-19

Abstract: We use a new futures database to identify and determine the importance of spread volume for currency futures and hence the liquidity available for spreading. Spreads are a significant proportion of total volume for currency futures, with both calendar and cross-spreads being significant. Commercial traders and the general public generate most of the spread volume, while floor traders do not generate much volume. The amount of spread trading has significant implications for volume-volatility studies, since spread volume is not considered to be “informed trading” and since it has a pronounced seasonal character. Copyright Springer 2007

Date: 2007
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DOI: 10.1007/BF02751508

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