Bid-ask Spread and Order Size in the Foreign Exchange Market: An Empirical Investigation
نویسنده
چکیده
This article empirically examines the relationship between order sizes and spreads in the foreign exchange market based on a FX dealer’s quotes. It is found that spreads are independent of order sizes in the inter-dealer market, but they are negatively correlated in the customer market. JEL classification: F31; G14
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