Microstructure of the yen/dollar foreign exchange market
Subtitle: patterns of intra-day activity in the electronic broking system
By: Takatoshi Ito, Yuko Hashi.
Contributors: Hashimoto, Yuko.; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 10856; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 10856.
Publisher: National Bureau of Economic Research
Published: 2004
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Foreign exchange market -- Japan.; Foreign exchange market -- United States.; Foreign exchange market -- Great Britain.
Description: "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 %u2013 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"--National Bureau of Economic Research web site.
Notes: Includes bibliographical references.
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