Traders, Market Microstructure and Exchange Rate Dynamics / Yin-Wong Cheung, Menzie D. Chinn.

Format:

Book

Author/Creator:

Cheung, Yin-Wong.

Contributor:

National Bureau of Economic Research.

Chinn, Menzie D.

Series:

Working Paper Series (National Bureau of Economic Research) no. w7416.

NBER working paper series no. w7416

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1999.

Summary:

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.

Notes:

Print version record

November 1999.