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Interest Rate Parity And The Behavior Of The Bid-Ask Spread

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  • Henock Louis
  • Lloyd P. Blenman
  • Janet S. Thatcher

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  • Henock Louis & Lloyd P. Blenman & Janet S. Thatcher, 1999. "Interest Rate Parity And The Behavior Of The Bid-Ask Spread," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 22(2), pages 189-206, June.
    • Handle: RePEc:bla:jfnres:v:22:y:1999:i:2:p:189-206
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1999.tb00722.x
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    References listed on IDEAS

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    1. Bessembinder, Hendrik, 1994. "Bid-ask spreads in the interbank foreign exchange markets," Journal of Financial Economics, Elsevier, vol. 35(3), pages 317-348, June.
    2. Glassman, Debra, 1987. "Exchange rate risk and transactions costs: Evidence from bid-ask spreads," Journal of International Money and Finance, Elsevier, vol. 6(4), pages 479-490, December.
    3. Aliber, Robert Z, 1973. "The Interest Rate Parity Theorem: A Reinterpretation," Journal of Political Economy, University of Chicago Press, vol. 81(6), pages 1451-1459, Nov.-Dec..
    4. Poitras, Geoffrey, 1988. "Arbitrage boundaries, treasury bills, and covered interest parity," Journal of International Money and Finance, Elsevier, vol. 7(4), pages 429-445.
    5. Rhee, S Ghon & Chang, Rosita P, 1992. "Intra-day Arbitrage Opportunities in Foreign Exchange and Eurocurrency Markets," Journal of Finance, American Finance Association, vol. 47(1), pages 363-379, March.
    6. Bossaerts, Peter & Hillion, Pierre, 1991. "Market Microstructure Effects of Government Intervention in the Foreign Exchange Market," The Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 513-541.
    7. Blenman, Lloyd P, 1991. "A Model of Covered Interest Arbitrage under Market Segmentation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 23(4), pages 706-717, November.
    8. Levi, Maurice D., 1992. "Non-reversed investment and borrowing, transaction costs, and covered interest parity," International Review of Economics & Finance, Elsevier, vol. 1(2), pages 107-119.
    9. Allen, William A., 1977. "A note on uncertainty, transactions costs and interest parity," Journal of Monetary Economics, Elsevier, vol. 3(3), pages 367-373, July.
    10. Aigner, Dennis & Lovell, C. A. Knox & Schmidt, Peter, 1977. "Formulation and estimation of stochastic frontier production function models," Journal of Econometrics, Elsevier, vol. 6(1), pages 21-37, July.
    11. Frenkel, Jacob A & Levich, Richard M, 1977. "Transaction Costs and Interest Arbitrage: Tranquil versus Turbulent Periods," Journal of Political Economy, University of Chicago Press, vol. 85(6), pages 1209-1226, December.
    12. Harold Demsetz, 1968. "The Cost of Transacting," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 82(1), pages 33-53.
    13. Harris, Lawrence, 1991. "Stock Price Clustering and Discreteness," The Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 389-415.
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    Cited by:

    1. Oleg Badunenko & Daniel J. Henderson, 2024. "Production analysis with asymmetric noise," Journal of Productivity Analysis, Springer, vol. 61(1), pages 1-18, February.
    2. Blenman, Lloyd P., 2000. "Non-reversed trades: Further implications for currency trading," International Review of Economics & Finance, Elsevier, vol. 9(3), pages 243-255, July.
    3. Simpson, Marc W. & Grossmann, Axel, 2014. "An examination of the forward prediction error of U.S. dollar exchange rates and how they are related to bid-ask spreads, purchasing power parity disequilibria, and forward premium asymmetry," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 221-238.
    4. Skinner, Frank S. & Mason, Andrew, 2011. "Covered interest rate parity in emerging markets," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 355-363.
    5. Coelho dos Santos, Marcelo Bittencourt & Klotzle, Marcelo Cabus & Figueiredo Pinto, Antonio Carlos, 2016. "Evidence of risk premiums in emerging market carry trade currencies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 44(C), pages 103-115.
    6. Hua, Mingshu, 2009. "A study on foreign exchange dealers' bid-ask spread quote behavior," Pacific-Basin Finance Journal, Elsevier, vol. 17(4), pages 506-523, September.

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