Bid-Ask Spread Determination in the FX Swap Market: Competition, Collusion or a Convention?
Alexis Stenfors ()
No 2017-03, Working Papers in Economics & Finance from University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group
Following a series of manipulation scandals in the global foreign exchange and money markets, recent lawsuits, regulatory reform proposals and bank compliance changes have explicitly targeted anti-competitive behaviour. By empirically investigating the determination of bid-ask spreads in foreign exchange swap markets, this paper addresses some contradictions where reciprocality, trust and conventions remain fundamental and logical. By doing so, the paper critically reflects upon the bid-ask spread in traditional market microstructure theory, the definition of the spread as a 'component of price' in antitrust law, and the policy implications in light of the recent regulatory investigations into financial benchmarks and OTC markets.
Keywords: Foreign exchange; LIBOR; market microstructure theory; bid-ask spreads; collusion; OTC markets (search for similar items in EconPapers)
JEL-codes: D4 F3 G1 G3 K2 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-com and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
http://repec.port.ac.uk/EconFinance/PBSEconFin_2017_03.pdf Full text (application/pdf)
Journal Article: Bid-ask spread determination in the FX swap market: Competition, collusion or a convention? (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:pbs:ecofin:2017-03
Access Statistics for this paper
More papers in Working Papers in Economics & Finance from University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group Portsmouth Business School Richmond Building Portland Street Portsmouth PO1 3DE United Kingdom. Contact information at EDIRC.
Bibliographic data for series maintained by Ansgar Wohlschlegel ().