TRADING PATTERNS AND PRICES IN THE INTERBANK FOREIGN-EXCHANGE MARKET

被引：137

作者：

BOLLERSLEV, T ^{[1
]}

DOMOWITZ, I ^{[1
]}

机构：

[1] NORTHWESTERN UNIV,DEPT ECON,EVANSTON,IL 60201

来源：

JOURNAL OF FINANCE | 1993年 / 48卷 / 04期

关键词：

D O I：

10.2307/2329044

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The behavior of quote arrivals and bid-ask spreads is examined for continuously recorded deutsche mark-dollar exchange rate data over time, across locations, and by market participants. A pattern in the intraday spread and intensity of market activity over time is uncovered and related to theories of trading patterns. Models for the conditional mean and variance of returns and bid-ask spreads indicate volatility clustering at high frequencies. The proposition that trading intensity has an independent effect on returns volatility is rejected, but holds for spread volatility. Conditional returns volatility is increasing in the size of the spread.

引用

页码：1421 / 1443

页数：23

共 41 条

[1] A Theory of Intraday Patterns: Volume and Price Variability [J].