Analysis of Singapore's Foreign Exchange Market Microstructure Examining the relationship between bid-ask spreads and the underlying volatility of the USD/SGD
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- Englisch ausgewählt
Fr. 67.90
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Beschreibung
Produktdetails
Einband
Taschenbuch
Erscheinungsdatum
20.03.2012
Verlag
LAP LAMBERT Academic PublishingSeitenzahl
112
Maße (L/B/H)
22/15/0.7 cm
Gewicht
185 g
Auflage
1. Auflage
Sprache
Englisch
ISBN
978-3-8484-1437-6
We analyse the Singapore foreign exchange market from a microstructure approach. Specifically, by modifying and applying the empirical methodology designed by Bollerslev and Melvin (1994), we examine the relationship between bid-ask spreads and the underlying volatility of the USD/SGD. Our data set comprises high-frequency USD/SGD tick data of three separate periods (April-June 1989, April-May 2006, April-May 2009). We found that for the USD/SGD: i) the size of bid-ask spreads are positively related to the underlying exchange rate volatility; ii) the magnitude of the dependence on underlying volatility increases as tick volume increases; and iii) the size of the bid-ask spreads may also be positively related to the directional movement of exchange rates. This book is originally a thesis submitted by the author to the Singapore Management University School of Economics in partial fulfillment of the requirements for the Degree of Master of Science in Economics.
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