IDEAS home Printed from https://ideas.repec.org/p/dkn/acctwp/aef_2001_03.html
   My bibliography  Save this paper

The Spot AUD/USD Foreign Exchange Market: Evidence from High Frequency Data

Author

Abstract

Using a high-frequency data set of the spot Australian dollar/US dollar this study examines the distribution of quotes, spreads and returns across the trading “day”. By identifying the direction of trade and the subsequent quote returns from contributing banks the segmented nature of the market into market-makers, and informed and uninformed traders is investigated. The results suggest that the information advantage held by informed traders is quickly eroded by the price discovery process of other institutions. Also the analysis is revealing of discontinuities in trading and the volatility of pricing across the trading “day”.

Suggested Citation

  • Batten, Jonathan & Warren Hogan, 2001. "The Spot AUD/USD Foreign Exchange Market: Evidence from High Frequency Data," Working Papers 2001_03, Deakin University, Department of Economics.
    • Handle: RePEc:dkn:acctwp:aef_2001_03
    as

    Download full text from publisher

    File URL: http://www.deakin.edu.au/buslaw/aef/workingpapers/papers/wpa01_03.pdf
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:dkn:acctwp:aef_2001_03. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Xueli Tang (email available below). General contact details of provider: https://edirc.repec.org/data/sedeaau.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.