全球智库信息集成服务系统(G2TT): Microstructure of the Yen\/Dollar Foreign Exchange Market: Patterns of Intra-day Activity Revealed in the Electronic Broking System

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w10856
来源ID	Working Paper 10856
	Microstructure of the Yen\/Dollar Foreign Exchange Market: Patterns of Intra-day Activity Revealed in the Electronic Broking System
	Takatoshi Ito; Yuko Hashimoto
发表日期	2004-10-25
出版年	2004
语种	英语
摘要	This paper establishes several intra-day patterns of the high-frequency exchange rate behavior, using the firm bid-ask quote, transaction of the EBS data set. First, the activity of quote and transactions is high in the beginning hours of the three major currency markets -- Tokyo, London, and New York and low during the Tokyo and London lunch hours and late afternoon in New York. Second, a new observation is obtained in that activity does not increase toward the end of business hours in the three major markets, even during the closing hours of New York on Friday. Third, an average bid-ask spread is narrow (wide), when quote and deal frequencies are high (low, respectively), except the beginning hour of Tokyo (GMT 0), when the bid-ask spread is wide despite high levels of activity.
主题	International Economics ; International Finance ; Financial Economics ; Financial Markets
URL	https://www.nber.org/papers/w10856
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/568489
推荐引用方式 GB/T 7714	Takatoshi Ito,Yuko Hashimoto. Microstructure of the Yen\/Dollar Foreign Exchange Market: Patterns of Intra-day Activity Revealed in the Electronic Broking System. 2004.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w10856.pdf（1194KB）	智库出版物		限制开放	CC BY-NC-SA	浏览