Traders, Market Microstructure and Exchange Rate Dynamics
Author | : Yin-Wong Cheung |
Publisher | : |
Total Pages | : 48 |
Release | : 1999 |
ISBN-10 | : UCSD:31822026183384 |
ISBN-13 | : |
Rating | : 4/5 (84 Downloads) |
Book excerpt: We report findings from a survey of United States foreign exchange traders. Our results indicate that: (i) The share of customer business, versus interbank business, has remained fairly constant; (ii) The channels by which transactions take place have changed, as electronically-brokered transactions have risen from 2% to 46% of total, mostly at the expense of transactions undertaken by traditional brokers; (iii) The single most widely- cited reason for deviating from the standard market convention on the bid-ask spread is a thin/hectic market; (iv) Half or more of market respondents believe that large players dominate in the dollar-pound and dollar-Swiss franc markets; and (v) 60% of respondents believe there is low predictability of exchange rates intraday. Even at medium and long run horizons, only a third of traders believe that there is high predictability.